Pages that link to "Item:Q2010486"
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The following pages link to A diffusion approximation for limit order book models (Q2010486):
Displaying 14 items.
- Diffusion approximation of a Poisson model for cumulative excess returns (Q904431) (← links)
- A functional limit theorem for limit order books with state dependent price dynamics (Q1688017) (← links)
- Scaling limit of a limit order book model via the regenerative characterization of Lévy trees (Q1704954) (← links)
- Second order approximations for limit order books (Q1788823) (← links)
- The microstructure of stochastic volatility models with self-exciting jump dynamics (Q2108901) (← links)
- From tick data to semimartingales (Q2240473) (← links)
- Modelling of limit order books by general compound Hawkes processes with implementations (Q2241518) (← links)
- A one-level limit order book model with memory and variable spread (Q2360238) (← links)
- A mathematical approach to order book modeling (Q2853371) (← links)
- A Law of Large Numbers for Limit Order Books (Q4595967) (← links)
- HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS (Q4628410) (← links)
- A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics (Q4958392) (← links)
- Modelling the shape of the limit order book (Q5026540) (← links)
- Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model (Q5886357) (← links)