STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL (Q5367502): Difference between revisions

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+A MATHEMATICAL APPROACH TO ORDER BOOK MODELING
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+Statistical properties of stock order books: empirical results and models
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+A Stochastic Model for Order Book Dynamics
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+Transition probabilities for general birth-death processes with applications in ecology, genetics, and evolution
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+What really causes large price changes?
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+Q5538132
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+Simulating and Analyzing Order Book Data: The Queue-Reactive Model
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+The order book as a queueing system: average depth and influence of the size of limit orders
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+Modelling intensities of order flows in a limit order book
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+Some Properties of Continued Fractions with Applications in Markov Processes
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+Killing and resurrection of markov processes
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+Statistical theory of the continuous double auction
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