A Few Simulation Results of Basic Models of Limit Order Books

DOI10.1007/978-3-030-11364-3_3zbMath1422.91815OpenAlexW2931327582MaRDI QIDQ5227351

Ioane Muni Toke

Publication date: 26 July 2019

Published in: New Economic Windows (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-11364-3_3

zbMATH Keywords

Poisson processesHawkes processeslimit order books

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial science and mathematical finance (91G99)

Cites Work

• Limit order books
• The Long Memory of the Efficient Market
• Modelling intensities of order flows in a limit order book
• Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes

This page was built for publication: A Few Simulation Results of Basic Models of Limit Order Books