Pages that link to "Item:Q5367351"
From MaRDI portal
The following pages link to Simulating and Analyzing Order Book Data: The Queue-Reactive Model (Q5367351):
Displayed 32 items.
- Dynamic optimal execution in a mixed-market-impact Hawkes price model (Q261925) (← links)
- A stochastic Stefan-type problem under first-order boundary conditions (Q1617128) (← links)
- Incorporating signals into optimal trading (Q1739054) (← links)
- Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes (Q2144192) (← links)
- A continuous and efficient fundamental price on the discrete order book grid (Q2149276) (← links)
- Statistical inference for ergodic point processes and application to limit order book (Q2359704) (← links)
- Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks (Q4553793) (← links)
- Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (Q4554209) (← links)
- High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (Q4554421) (← links)
- Modelling intensities of order flows in a limit order book (Q4555100) (← links)
- Latency and liquidity provision in a limit order book (Q4555166) (← links)
- Enhancing trading strategies with order book signals (Q4559323) (← links)
- Optimal Decisions in a Time Priority Queue (Q4559471) (← links)
- Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework (Q4607054) (← links)
- A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics (Q4958392) (← links)
- Optimal inventory management and order book modeling (Q4967868) (← links)
- Two price regimes in limit order books: liquidity cushion and fragmented distant field (Q5032076) (← links)
- State-dependent Hawkes processes and their application to limit order book modelling (Q5072914) (← links)
- Market making with inventory control and order book information (Q5072917) (← links)
- Optimal Liquidity-Based Trading Tactics (Q5084495) (← links)
- Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models (Q5126683) (← links)
- Endogenous liquidity crises (Q5135044) (← links)
- Algorithmic trading in a microstructural limit order book model (Q5139231) (← links)
- Analyzing order flows in limit order books with ratios of Cox-type intensities (Q5215440) (← links)
- A Scaling Limit for Limit Order Books Driven by Hawkes Processes (Q5227409) (← links)
- Disentangling and quantifying market participant volatility contributions (Q5235452) (← links)
- A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics (Q5266362) (← links)
- STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL (Q5367502) (← links)
- Limits of Limit-Order Books (Q6061113) (← links)
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution (Q6158406) (← links)
- A generative model of a limit order book using recurrent neural networks (Q6166215) (← links)
- Order Book Queue Hawkes Markovian Modeling (Q6200514) (← links)