A semi-Markovian modeling of limit order markets (Q5266360)
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scientific article; zbMATH DE number 6725624
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A semi-Markovian modeling of limit order markets |
scientific article; zbMATH DE number 6725624 |
Statements
A Semi-Markovian Modeling of Limit Order Markets (English)
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2 June 2017
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limit order book
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Markov renewal process
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semi-Markov process
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diffusion limit
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duration analysis
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Weibull distribution
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gamma distributions
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Burr distribution
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0.8767344355583191
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0.8556233644485474
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0.8542689681053162
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0.8406271934509277
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0.8269293904304504
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