Modelling intensities of order flows in a limit order book (Q4555100)
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scientific article; zbMATH DE number 6981219
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| English | Modelling intensities of order flows in a limit order book |
scientific article; zbMATH DE number 6981219 |
Statements
Modelling intensities of order flows in a limit order book (English)
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19 November 2018
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order book
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limit orders
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market orders
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cancellations
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state-dependent point processes
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intensity-based models
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0.8532768487930298
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0.8119571208953857
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0.8082694411277771
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0.8081658482551575
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0.7980474233627319
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