Pages that link to "Item:Q4647293"
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The following pages link to Statistical theory of the continuous double auction (Q4647293):
Displayed 45 items.
- A stochastic Stefan-type problem under first-order boundary conditions (Q1617128) (← links)
- Between complexity of modelling and modelling of complexity: an essay on econophysics (Q1673111) (← links)
- Price dynamics in an order-driven market with Bayesian learning (Q1723051) (← links)
- Simple stochastic order-book model of swarm behavior in continuous double auction (Q1783312) (← links)
- An analysis of price impact function in order-driven markets (Q1873949) (← links)
- Particle-scale modelling of financial price dynamics (Q2005013) (← links)
- Exact solution to two-body financial dealer model: revisited from the viewpoint of kinetic theory (Q2096918) (← links)
- Bias-optimal vol-of-vol estimation: the role of window overlapping (Q2145695) (← links)
- Order book model with herd behavior exhibiting long-range memory (Q2159603) (← links)
- Order execution probability and order queue in limit order markets (Q2220431) (← links)
- A level-1 limit order book with time dependent arrival rates (Q2283666) (← 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)
- Statistical inference for ergodic point processes and application to limit order book (Q2359704) (← links)
- When does inequality freeze an economy? (Q3302774) (← links)
- Long-Time Behavior of a Hawkes Process--Based Limit Order Book (Q3456836) (← links)
- Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks (Q4553793) (← links)
- Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (Q4554209) (← links)
- High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (Q4554421) (← links)
- Estimation of zero-intelligence models by L1 data (Q4554513) (← links)
- Modelling intensities of order flows in a limit order book (Q4555100) (← links)
- Latency and liquidity provision in a limit order book (Q4555166) (← links)
- Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework (Q4607054) (← links)
- What really causes large price changes? (Q4610246) (← links)
- Market impact with multi-timescale liquidity (Q4619521) (← links)
- A steady-state model of the continuous double auction (Q4647285) (← links)
- Fundamentalists clashing over the book: a study of order-driven stock markets (Q4647292) (← links)
- On the origin of power-law tails in price fluctuations (Q4647591) (← links)
- A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback (Q4683036) (← links)
- A fully consistent, minimal model for non-linear market impact (Q4683067) (← links)
- The order book as a queueing system: average depth and influence of the size of limit orders (Q4683096) (← links)
- A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics (Q4958392) (← links)
- PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES (Q4966641) (← links)
- Optimal inventory management and order book modeling (Q4967868) (← links)
- How does latent liquidity get revealed in the limit order book? (Q5006884) (← links)
- State-dependent Hawkes processes and their application to limit order book modelling (Q5072914) (← links)
- Optimal Liquidity-Based Trading Tactics (Q5084495) (← links)
- Endogenous liquidity crises (Q5135044) (← links)
- Clearing price distributions in call auctions (Q5139246) (← links)
- Disentangling and quantifying market participant volatility contributions (Q5235452) (← links)
- A Semi-Markovian Modeling of Limit Order Markets (Q5266360) (← links)
- STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL (Q5367502) (← links)
- Limits of Limit-Order Books (Q6061113) (← links)
- Analysis and modeling of client order flow in limit order markets (Q6158395) (← links)
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution (Q6158406) (← links)