Particle-scale modelling of financial price dynamics
DOI10.1016/J.CNSNS.2016.07.011zbMATH Open1465.91133OpenAlexW2505657539MaRDI QIDQ2005013FDOQ2005013
Authors: David Liu 
Publication date: 7 October 2020
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2016.07.011
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Cites Work
- The pricing of options and corporate liabilities
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- A stochastic model for order book dynamics
- Fluctuations and response in financial markets: the subtle nature of `random' price changes
- Statistical properties of stock order books: empirical results and models
- Order book approach to price impact
- Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
- The Long Memory of the Efficient Market
- What really causes large price changes?
- Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
- Empirical Analysis of Limit Order Markets
- A fully consistent, minimal model for nonlinear market impact
- Statistical theory of the continuous double auction
- A multi agent model for the limit order book dynamics
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