Pages that link to "Item:Q4646786"
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The following pages link to Statistical properties of stock order books: empirical results and models (Q4646786):
Displayed 41 items.
- Modeling high-frequency non-homogeneous order flows by compound Cox processes (Q267623) (← links)
- Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes (Q298830) (← links)
- Varieties of agents in agent-based computational economics: a historical and an interdisciplinary perspective (Q428012) (← links)
- Order book, financial markets, and self-organized criticality (Q508308) (← links)
- The interacting gaps model: reconciling theoretical and numerical approaches to limit-order models (Q1412914) (← links)
- A stochastic Stefan-type problem under first-order boundary conditions (Q1617128) (← links)
- Price dynamics in an order-driven market with Bayesian learning (Q1723051) (← links)
- Simple stochastic order-book model of swarm behavior in continuous double auction (Q1783312) (← links)
- More statistical properties of order books and price impact (Q1873946) (← links)
- An analysis of price impact function in order-driven markets (Q1873949) (← links)
- Particle-scale modelling of financial price dynamics (Q2005013) (← links)
- Exact solution to two-body financial dealer model: revisited from the viewpoint of kinetic theory (Q2096918) (← links)
- Order book model with herd behavior exhibiting long-range memory (Q2159603) (← links)
- The impact of heterogeneous trading rules on the limit order book and order flows (Q2271649) (← links)
- Approximate hedging for nonlinear transaction costs on the volume of traded assets (Q2516769) (← links)
- Heavy tailed distributions in closing auctions (Q2669415) (← links)
- From Walras’ auctioneer to continuous time double auctions: a general dynamic theory of supply and demand (Q3302506) (← links)
- Limit-order book resiliency after effective market orders: spread, depth and intensity (Q3303138) (← links)
- Optimal execution with non-linear transient market impact (Q4555057) (← links)
- A behavioural model of investor sentiment in limit order markets (Q4555059) (← links)
- Determining the integrated volatility via limit order books with multiple records (Q4555173) (← links)
- Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework (Q4607054) (← links)
- Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (Q4610223) (← links)
- What really causes large price changes? (Q4610246) (← links)
- Modelling high-frequency limit order book dynamics with support vector machines (Q4619497) (← links)
- Evolution of high-frequency systematic trading: a performance-driven gradient boosting model (Q4619504) (← links)
- The power of patience: a behavioural regularity in limit-order placement (Q4646802) (← links)
- Non-constant rates and over-diffusive prices in a simple model of limit order markets (Q4647254) (← links)
- A steady-state model of the continuous double auction (Q4647285) (← links)
- Fundamentalists clashing over the book: a study of order-driven stock markets (Q4647292) (← links)
- Statistical theory of the continuous double auction (Q4647293) (← links)
- A fully consistent, minimal model for non-linear market impact (Q4683067) (← links)
- The order book as a queueing system: average depth and influence of the size of limit orders (Q4683096) (← links)
- On the equivalence between the kinetic Ising model and discrete autoregressive processes (Q4992318) (← links)
- Two price regimes in limit order books: liquidity cushion and fragmented distant field (Q5032076) (← links)
- Fragmentation, Price Formation and Cross-Impact in Bitcoin Markets (Q5103917) (← links)
- Clearing price distributions in call auctions (Q5139246) (← links)
- Analyzing order flows in limit order books with ratios of Cox-type intensities (Q5215440) (← links)
- STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL (Q5367502) (← links)
- Bid-Ask Spread Modelling, a Perturbation Approach (Q5746535) (← links)
- Analysis and modeling of client order flow in limit order markets (Q6158395) (← links)