A Stochastic Model for Order Book Dynamics
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Publication:3098255
DOI10.1287/opre.1090.0780zbMath1232.91719OpenAlexW3125796404MaRDI QIDQ3098255
Rama Cont, Rishi Talreja, Sasha Stoikov
Publication date: 17 November 2011
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/5d023643ed13303e578025d6dccd16283cec53a2
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Queues and service in operations research (90B22)
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