Pages that link to "Item:Q3098255"
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The following pages link to A Stochastic Model for Order Book Dynamics (Q3098255):
Displayed 50 items.
- Modeling high-frequency non-homogeneous order flows by compound Cox processes (Q267623) (← links)
- Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes (Q298830) (← links)
- Explicit asymptotic velocity of the boundary between particles and antiparticles (Q454478) (← links)
- A bidding game with heterogeneous players (Q481066) (← links)
- Modeling discrete stock price changes using a mixture of Poisson distributions (Q530377) (← links)
- When one stock share is a biological individual: a stylized simulation of the population dynamics in an order-driven market (Q777943) (← links)
- Robust filtering algorithm for Markov jump processes with high-frequency counting observations (Q827960) (← links)
- A stochastic Stefan-type problem under first-order boundary conditions (Q1617128) (← links)
- Explicit solution for constrained optimal execution problem with general correlated market depth (Q1655928) (← links)
- Rigorous results for the Stigler-Luckock model for the evolution of an order book (Q1661559) (← links)
- Scaling limit of a limit order book model via the regenerative characterization of Lévy trees (Q1704954) (← links)
- Limiting distribution for a simple model of order book dynamics (Q1935649) (← links)
- The self-financing equation in limit order book markets (Q1999602) (← links)
- Particle-scale modelling of financial price dynamics (Q2005013) (← links)
- Regression models for double discrete distributions (Q2089357) (← links)
- Order scoring, bandit learning and order cancellations (Q2115951) (← links)
- The multi-dimensional stochastic Stefan financial model for a portfolio of assets (Q2120321) (← links)
- A continuous and efficient fundamental price on the discrete order book grid (Q2149276) (← links)
- Algorithmic trading for online portfolio selection under limited market liquidity (Q2189897) (← links)
- Stochastic modelling of big data in finance (Q2218868) (← links)
- Order execution probability and order queue in limit order markets (Q2220431) (← links)
- From tick data to semimartingales (Q2240473) (← links)
- Optimal liquidation problem in illiquid markets (Q2242363) (← links)
- A dynamic model of the limit order book (Q2284921) (← links)
- High frequency trading strategies, market fragility and price spikes: an agent based model perspective (Q2288938) (← links)
- Confidence interval for correlation estimator between latent processes (Q2303484) (← links)
- Markets with random lifetimes and private values: mean reversion and option to trade (Q2343114) (← links)
- Statistical inference for ergodic point processes and application to limit order book (Q2359704) (← links)
- A one-level limit order book model with memory and variable spread (Q2360238) (← links)
- Continuous time trading of a small investor in a limit order market (Q2444632) (← links)
- Estimating doubly stochastic Poisson process with affine intensities by Kalman filter (Q2516623) (← links)
- Approximate hedging for nonlinear transaction costs on the volume of traded assets (Q2516769) (← links)
- Optimization of stock trading with additional information by limit order book (Q2664237) (← links)
- A Correction Note for Price Dynamics in a Markovian Limit Order Market (Q2808182) (← links)
- A MATHEMATICAL APPROACH TO ORDER BOOK MODELING (Q2853371) (← links)
- Efficient portfolio valuation incorporating liquidity risk (Q2871410) (← links)
- Limit order books (Q2871425) (← links)
- Rebuilding the limit order book: sequential Bayesian inference on hidden states (Q2871430) (← links)
- A generalized birth–death stochastic model for high-frequency order book dynamics (Q2873024) (← links)
- Reduced form modeling of limit order markets (Q2873532) (← links)
- Coupling Limit Order Books and Branching Random Walks (Q2923425) (← links)
- LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY (Q2927944) (← links)
- OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY (Q2927946) (← links)
- Weak dependence of point processes and application to second-order statistics<sup>†</sup> (Q2953970) (← links)
- GENERAL SEMI-MARKOV MODEL FOR LIMIT ORDER BOOKS (Q2986667) (← links)
- Apparent impact: the hidden cost of one-shot trades (Q3302298) (← links)
- Long-Time Behavior of a Hawkes Process--Based Limit Order Book (Q3456836) (← links)
- Diffusion Models for Double-ended Queues with Renewal Arrival Processes (Q3466703) (← links)
- Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks (Q4553793) (← links)
- High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (Q4554421) (← links)