Modelling the shape of the limit order book

DOI10.1080/14697688.2018.1433312MaRDI QIDQ5026540zbMATH OpenOpenAlexFDO

Authors Federico Platania, Pedro Serrano, Mikel Tapia

Publication date 8 February 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2018.1433312

zbMATH Keywords

high-frequency asset pricing modellimit order booknoise traderpartial differential equation

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial markets (91G15) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(12)

• The self-financing equation in limit order book markets
• The impact of heterogeneous trading rules on the limit order book and order flows
• A one-level limit order book model with memory and variable spread
• Rebuilding the limit order book: sequential Bayesian inference on hidden states
• scientific article; zbMATH DE number 5361721 (Why is no real title available?)
• Modelling high-frequency limit order book dynamics with support vector machines
• The order book as a queueing system: average depth and influence of the size of limit orders
• Using full limit order book for price jump prediction
• Analyzing order flows in limit order books with ratios of Cox-type intensities
• A Stackelberg order execution game
• Trading strategy with stochastic volatility in a limit order book market
• Functional modelling of volatility in the Swedish limit order book

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