Pages that link to "Item:Q3098255"

The following pages link to A Stochastic Model for Order Book Dynamics (Q3098255):

Displaying 50 items.

• Weak dependence of point processes and application to second-order statistics^† (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)
• Analysis of order book flows using a non-parametric estimation of the branching ratio matrix (Q4554417) (← links)
• High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (Q4554421) (← links)
• Linear models for the impact of order flow on prices. I. History dependent impact models (Q4554471) (← links)
• Estimation of zero-intelligence models by L1 data (Q4554513) (← links)
• Reducing transaction costs with low-latency trading algorithms (Q4554514) (← links)
• Modelling intensities of order flows in a limit order book (Q4555100) (← links)
• The role of volume in order book dynamics: a multivariate Hawkes process analysis (Q4555121) (← links)
• Latency and liquidity provision in a limit order book (Q4555166) (← links)
• How much market making does a market need? (Q4555283) (← links)
• Enhancing trading strategies with order book signals (Q4559323) (← links)
• Optimal Decisions in a Time Priority Queue (Q4559471) (← links)
• Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes (Q4580297) (← links)
• Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework (Q4607054) (← links)
• Modelling high-frequency limit order book dynamics with support vector machines (Q4619497) (← links)
• Internalisation by electronic FX spot dealers (Q4628034) (← links)
• HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS (Q4628410) (← links)
• Endogenous Formation of Limit Order Books: Dynamics Between Trades (Q4641739) (← links)
• Semi-Markov Model for Market Microstructure (Q4682482) (← links)
• The order book as a queueing system: average depth and influence of the size of limit orders (Q4683096) (← links)
• Short‐Term Stock Price Prediction Based on Limit Order Book Dynamics (Q4687620) (← links)
• A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics (Q4958392) (← links)
• Optimal inventory management and order book modeling (Q4967868) (← links)
• Estimation of Correlation Between Latent Processes (Q4976496) (← links)
• Market or limit orders? (Q4991033) (← links)
• Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets (Q5031627) (← links)
• Optimal Auction Duration: A Price Formation Viewpoint (Q5031656) (← links)
• Two price regimes in limit order books: liquidity cushion and fragmented distant field (Q5032076) (← links)
• Equilibrium Model of Limit Order Books: A Mean-Field Game View (Q5050094) (← links)
• A deep learning approach to estimating fill probabilities in a limit order book (Q5051972) (← links)
• ON BOUNCING GEOMETRIC BROWNIAN MOTIONS (Q5056633) (← links)
• Heterogeneity and Competition in Fragmented Markets: Fees Vs Speed (Q5063387) (← links)
• State-dependent Hawkes processes and their application to limit order book modelling (Q5072914) (← links)
• Optimal Liquidity-Based Trading Tactics (Q5084495) (← links)
• Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data (Q5120733) (← links)
• Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models (Q5126683) (← links)
• Algorithmic trading in a microstructural limit order book model (Q5139231) (← links)
• Clearing price distributions in call auctions (Q5139246) (← links)
• Stationary Distributions of Continuous-Time Markov Chains: A Review of Theory and Truncation-Based Approximations (Q5150207) (← links)
• Stock market trend prediction using a functional time series approach (Q5215439) (← links)
• Analyzing order flows in limit order books with ratios of Cox-type intensities (Q5215440) (← links)
• A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies (Q5219304) (← links)
• GARCH in spinor field (Q5233042) (← links)
• Deep learning for limit order books (Q5234311) (← links)
• Universal features of price formation in financial markets: perspectives from deep learning (Q5234368) (← links)