Limit order books (Q2871425): Difference between revisions

@@ Property / cites work @@
+Ultra high frequency volatility estimation with dependent microstructure noise
+Normal rank
@@ Property / cites work @@
+Optimal execution strategies in limit order books with general shape functions
+Normal rank
@@ Property / cites work @@
+Modelling Financial High Frequency Data Using Point Processes
+Normal rank
@@ Property / cites work @@
+Q4865042
@@ Property / cites work: Q4865042 / rank @@
+Normal rank
@@ Property / cites work @@
+Theory of Financial Risk and Derivative Pricing
@@ Property / cites work: Theory of Financial Risk and Derivative Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Analyzing and modeling 1+1d markets
@@ Property / cites work: Analyzing and modeling 1+1d markets / rank @@
+Normal rank
@@ Property / cites work @@
+Power-Law Distributions in Empirical Data
@@ Property / cites work: Power-Law Distributions in Empirical Data / rank @@
+Normal rank
@@ Property / cites work @@
+Q3396055
@@ Property / cites work: Q3396055 / rank @@
+Normal rank
@@ Property / cites work @@
+HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
+Normal rank
@@ Property / cites work @@
+Q4524816
@@ Property / cites work: Q4524816 / rank @@
+Normal rank
@@ Property / cites work @@
+A Stochastic Model for Order Book Dynamics
@@ Property / cites work: A Stochastic Model for Order Book Dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+The price impact of order book events: market orders, limit orders and cancellations
+Normal rank
@@ Property / cites work @@
+Institutional Investors and Stock Market Volatility
+Normal rank
@@ Property / cites work @@
+No-dynamic-arbitrage and market impact
@@ Property / cites work: No-dynamic-arbitrage and market impact / rank @@
+Normal rank
@@ Property / cites work @@
+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+On the probability distribution of stock returns in the Mike-Farmer model
+Normal rank
@@ Property / cites work @@
+From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
+Normal rank
@@ Property / cites work @@
+The market impact of a limit order
@@ Property / cites work: The market impact of a limit order / rank @@
+Normal rank
@@ Property / cites work @@
+Empirical Analysis of Limit Order Markets
@@ Property / cites work: Empirical Analysis of Limit Order Markets / rank @@
+Normal rank
@@ Property / cites work @@
+The Framing of Decisions and the Psychology of Choice
+Normal rank
@@ Property / cites work @@
+Detecting long-range correlations with detrended fluctuation analysis
+Normal rank
@@ Property / cites work @@
+Continuous Auctions and Insider Trading
@@ Property / cites work: Continuous Auctions and Insider Trading / rank @@
+Normal rank
@@ Property / cites work @@
+Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
+Normal rank
@@ Property / cites work @@
+Introduction to Econophysics
@@ Property / cites work: Introduction to Econophysics / rank @@
+Normal rank
@@ Property / cites work @@
+Price fluctuations from the order book perspective - empirical facts and a simple model
+Normal rank
@@ Property / cites work @@
+Q3577926
@@ Property / cites work: Q3577926 / rank @@
+Normal rank
@@ Property / cites work @@
+The next tick on Nasdaq
@@ Property / cites work: The next tick on Nasdaq / rank @@
+Normal rank
@@ Property / cites work @@
+More statistical properties of order books and price impact
+Normal rank
@@ Property / cites work @@
+Q4682143
@@ Property / cites work: Q4682143 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5708631
@@ Property / cites work: Q5708631 / rank @@
+Normal rank
@@ Property / cites work @@
+Critical Truths About Power Laws
@@ Property / cites work: Critical Truths About Power Laws / rank @@
+Normal rank
@@ Property / cites work @@
+ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
+Normal rank
@@ Property / cites work @@
+Q5445941
@@ Property / cites work: Q5445941 / rank @@
+Normal rank
@@ Property / cites work @@
+A critical look at Lo's modified \(R/S\) statistic.
+Normal rank
@@ Property / cites work @@
+Relation between bid–ask spread, impact and volatility in order-driven markets
+Normal rank