A stochastic model for order book dynamics
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Publication:3098255
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Cited in
(only showing first 100 items - show all)- Weak dependence of point processes and application to second-order statistics
- Modelling intensities of order flows in a limit order book
- Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
- Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models
- Algorithmic trading for online portfolio selection under limited market liquidity
- A stochastic partial differential equation model for limit order book dynamics
- Confidence interval for correlation estimator between latent processes
- The trading rectangle strategy within book models
- Estimating doubly stochastic Poisson process with affine intensities by Kalman filter
- The role of volume in order book dynamics: a multivariate Hawkes process analysis
- Approximation and comparison of the empirical liquidity cost function for various futures contracts
- Linear models for the impact of order flow on prices. I. History dependent impact models
- Market or limit orders?
- Analyzing order flows in limit order books with ratios of Cox-type intensities
- Optimal liquidation through a limit order book: a neural network and simulation approach
- Diffusion models for double-ended queues with renewal arrival processes
- Statistical properties of stock order books: empirical results and models
- Bid-ask spread dynamics: large upward jump with geometric catastrophes
- General semi-Markov model for limit order books
- Ergodicity and diffusivity of Markovian order book models: a general framework
- A semi-Markovian modeling of limit order markets
- Optimal auction duration: a price formation viewpoint
- Modeling high-frequency non-homogeneous order flows by compound Cox processes
- Modeling discrete stock price changes using a mixture of Poisson distributions
- Queueing dynamics and state space collapse in fragmented limit order book markets
- Functional modelling of volatility in the Swedish limit order book
- GARCH in spinor field
- Robust filtering algorithm for Markov jump processes with high-frequency counting observations
- Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model
- Stochastic modelling of big data in finance
- Short-term stock price prediction based on limit order book dynamics
- Order execution probability and order queue in limit order markets
- Endogenous formation of limit order books: dynamics between trades
- Optimal inventory management and order book modeling
- The self-financing equation in limit order book markets
- The order book as a queueing system: average depth and influence of the size of limit orders
- Modelling high-frequency limit order book dynamics with support vector machines
- HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
- Continuous time trading of a small investor in a limit order market
- Particle-scale modelling of financial price dynamics
- Order scoring, bandit learning and order cancellations
- Coupling limit order books and branching random walks
- Limits of Limit-Order Books
- A Leland model for delta hedging in central risk books
- Optimal decisions in a time priority queue
- Internalisation by electronic FX spot dealers
- A stochastic Stefan-type problem under first-order boundary conditions
- ON BOUNCING GEOMETRIC BROWNIAN MOTIONS
- Long-time behavior of a Hawkes process-based limit order book
- High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration
- A deep learning approach to estimating fill probabilities in a limit order book
- A correction note for price dynamics in a Markovian limit order market
- A weak law of large numbers for a limit order book model with fully state dependent order dynamics
- Markets with random lifetimes and private values: mean reversion and option to trade
- Analysis of a decision model in the context of equilibrium pricing and order book pricing
- Disentangling and quantifying market participant volatility contributions
- Heterogeneity and competition in fragmented markets: fees vs speed
- scientific article; zbMATH DE number 2187919 (Why is no real title available?)
- From tick data to semimartingales
- Algorithmic trading in a microstructural limit order book model
- A level-1 limit order book with time dependent arrival rates
- Apparent impact: the hidden cost of one-shot trades
- Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
- Optimization of stock trading with additional information by limit order book
- Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics
- Algorithmic trading, stochastic control, and mutually exciting processes
- Stationary distributions of continuous-time Markov chains: a review of theory and truncation-based approximations
- Regression models for double discrete distributions
- Rebuilding the limit order book: sequential Bayesian inference on hidden states
- Clearing price distributions in call auctions
- Approximate hedging for nonlinear transaction costs on the volume of traded assets
- The multi-dimensional stochastic Stefan financial model for a portfolio of assets
- Queuing models with Mittag-Leffler inter-event times
- A one-level limit order book model with memory and variable spread
- A generalized birth-death stochastic model for high-frequency order book dynamics
- Explicit asymptotic velocity of the boundary between particles and antiparticles
- Limit order books
- scientific article; zbMATH DE number 6475388 (Why is no real title available?)
- Universal features of price formation in financial markets: perspectives from deep learning
- Statistical inference for ergodic point processes and application to limit order book
- Optimal liquidation problem in illiquid markets
- State-dependent Hawkes processes and their application to limit order book modelling
- Simulating and analyzing order book data: the queue-reactive model
- A generative model of a limit order book using recurrent neural networks
- A continuous and efficient fundamental price on the discrete order book grid
- Explicit solution for constrained optimal execution problem with general correlated market depth
- Liquidation in limit order books with controlled intensity
- Optimal trade execution and price manipulation in order books with time-varying liquidity
- Statistical theory of the continuous double auction
- Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
- A dynamic model of the limit order book
- A bidding game with heterogeneous players
- Optimal liquidity-based trading tactics
- Rigorous results for the Stigler-Luckock model for the evolution of an order book
- How much market making does a market need?
- Stock market trend prediction using a functional time series approach
- Diffusive behavior and the modeling of characteristic times in limit order executions
- High frequency trading strategies, market fragility and price spikes: an agent based model perspective
- Latency and liquidity provision in a limit order book
- Equilibrium model of limit order books: a mean-field game view
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