Multi-dimensional queue-reactive model and signal-driven models: a unified framework
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Cites work
- A mathematical approach to order book modeling
- A stochastic model for order book dynamics
- Affine Volterra processes
- Consistency of MLE in partially observed diffusion models on a torus
- Ergodicity and diffusivity of Markovian order book models: a general framework
- Estimating the efficient price from the order flow: a Brownian Cox process approach
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- Limit order books
- Limit theorems for nearly unstable Hawkes processes
- Long-time behavior of a Hawkes process-based limit order book
- Modelling intensities of order flows in a limit order book
- Modelling microstructure noise with mutually exciting point processes
- On parameter estimation of hidden ergodic Ornstein-Uhlenbeck process
- Optimal liquidity-based trading tactics
- Optimal Novikov-type criteria for local martingales with jumps
- Price dynamics in a Markovian limit order market
- Risk minimizing hedging for a partially observed high frequency data model
- Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
- Simulating and analyzing order book data: the queue-reactive model
- Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
- State-dependent Hawkes processes and their application to limit order book modelling
- Statistical theory of the continuous double auction
- Stochastic stability and control
- Understanding the worst-kept secret of high-frequency trading
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