Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes (Q298830)
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scientific article; zbMATH DE number 6595865
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| English | Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes |
scientific article; zbMATH DE number 6595865 |
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Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes (English)
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21 June 2016
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limit order book
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price discovery
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order flow imbalance
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doubly stochastic Poisson processes
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Cox processes
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two-sided risk process
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0.906065821647644
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0.7721626162528992
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0.7674691081047058
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0.763057291507721
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0.7538852095603943
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