Pages that link to "Item:Q2853371"
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The following pages link to A MATHEMATICAL APPROACH TO ORDER BOOK MODELING (Q2853371):
Displayed 19 items.
- Dynamic optimal execution in a mixed-market-impact Hawkes price model (Q261925) (← links)
- Scaling limit of a limit order book model via the regenerative characterization of Lévy trees (Q1704954) (← links)
- Variable diffusion in stock market fluctuations (Q1783265) (← links)
- Second order approximations for limit order books (Q1788823) (← links)
- Statistical inference for ergodic point processes and application to limit order book (Q2359704) (← links)
- A one-level limit order book model with memory and variable spread (Q2360238) (← links)
- Optimal market dealing under constraints (Q2401520) (← links)
- High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model (Q2941476) (← links)
- Long-Time Behavior of a Hawkes Process--Based Limit Order Book (Q3456836) (← links)
- Modelling intensities of order flows in a limit order book (Q4555100) (← links)
- Inventory Accumulation with $k$ Products (Q4601282) (← links)
- Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework (Q4607054) (← links)
- HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS (Q4628410) (← links)
- Semi-Markov Model for Market Microstructure (Q4682482) (← links)
- The order book as a queueing system: average depth and influence of the size of limit orders (Q4683096) (← links)
- Optimal inventory management and order book modeling (Q4967868) (← links)
- Estimation of Correlation Between Latent Processes (Q4976496) (← links)
- A Scaling Limit for Limit Order Books Driven by Hawkes Processes (Q5227409) (← links)
- STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL (Q5367502) (← links)
