A MATHEMATICAL APPROACH TO ORDER BOOK MODELING (Q2853371)

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A MATHEMATICAL APPROACH TO ORDER BOOK MODELING
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    title
    A MATHEMATICAL APPROACH TO ORDER BOOK MODELING (English)
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    author
    Frederic Abergel
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    Aymen Jedidi
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    publication date
    21 October 2013
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    Mathematics Subject Classification ID
    91G80
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    60J70
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    60J28
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    zbMATH DE Number
    6217599
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    zbMATH Keywords
    limit order book
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    agent-based modeling
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    order flow
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    bid-ask spread
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    Markov chain
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    stochastic stability
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    FCLT
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    geometric mixing
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