Semi-Markov Model for Market Microstructure (Q4682482): Difference between revisions

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+A MATHEMATICAL APPROACH TO ORDER BOOK MODELING
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+Ultra high frequency volatility estimation with dependent microstructure noise
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+Modelling microstructure noise with mutually exciting point processes
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+Hawkes model for price and trades high-frequency dynamics
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+Modelling Financial High Frequency Data Using Point Processes
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+Theory of Financial Risk and Derivative Pricing
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+Modelling Asset Prices for Algorithmic and High-Frequency Trading
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+Buy Low, Sell High: A High Frequency Trading Perspective
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+How Duration Between Trades of Underlying Securities Affects Option Prices*
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+Price Dynamics in a Markovian Limit Order Market
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+A Stochastic Model for Order Book Dynamics
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+An introduction to the theory of point processes
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+Diffusions with measurement errors. I. Local Asymptotic Normality
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+On Functional Central Limit Theorems for Semi-Markov and Related Processes
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+Semi-Markov processes and reliability
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