Pages that link to "Item:Q2873118"

The following pages link to Price dynamics in a Markovian limit order market (Q2873118):

Displaying 50 items.

• Dynamic optimal execution in a mixed-market-impact Hawkes price model (Q261925) (← links)
• 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)
• Probabilistic aspects of finance (Q373529) (← links)
• The market impact of a limit order (Q433360) (← links)
• Optimal placement in a limit order book: an analytical approach (Q513747) (← 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)
• Optimal asset liquidation with multiplicative transient price impact (Q1630423) (← links)
• Scaling limit of a limit order book model via the regenerative characterization of Lévy trees (Q1704954) (← links)
• Price dynamics in an order-driven market with Bayesian learning (Q1723051) (← links)
• Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies (Q1740520) (← links)
• The extinction problem for a distylous plant population with sporophytic self-incompatibility (Q1741557) (← links)
• Second order approximations for limit order books (Q1788823) (← links)
• The self-financing equation in limit order book markets (Q1999602) (← links)
• Two price economic equilibria and financial market bid/ask prices (Q2036002) (← links)
• On partially homogeneous nearest-neighbour random walks in the quarter plane and their application in the analysis of two-dimensional queues with limited state-dependency (Q2052944) (← links)
• Upper estimates for inhomogeneous random walks confined to the positive orthant (Q2064862) (← links)
• Order scoring, bandit learning and order cancellations (Q2115951) (← links)
• The multi-dimensional stochastic Stefan financial model for a portfolio of assets (Q2120321) (← links)
• Martin boundary of random walks in convex cones (Q2136420) (← 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)
• Modelling of limit order books by general compound Hawkes processes with implementations (Q2241518) (← links)
• A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy (Q2246615) (← links)
• A level-1 limit order book with time dependent arrival rates (Q2283666) (← links)
• A dynamic model of the limit order book (Q2284921) (← links)
• Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues (Q2315066) (← links)
• Adaptive procedure for Fourier estimators: application to deconvolution and decompounding (Q2326063) (← 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)
• Market versus limit orders (Q2366946) (← links)
• When is it no longer possible to estimate a compound Poisson process? (Q2444222) (← links)
• Estimating the efficient price from the order flow: a Brownian Cox process approach (Q2447646) (← 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)
• Testing whether the Nikkei225 best bid/ask price path follows the first order discrete Markov chain -- an approach in terms of the total ``\(\rho\)-variation'' (Q2843149) (← links)
• A mathematical approach to order book modeling (Q2853371) (← links)
• Reduced form modeling of limit order markets (Q2873532) (← links)
• The dynamic evolution of the limit order book driven by order flows (Q2887623) (← links)
• Forecasting prices from level-I quotes in the presence of hidden liquidity (Q2919951) (← links)
• Liquidation in limit order books with controlled intensity (Q2927944) (← links)
• High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model (Q2941476) (← links)
• GENERAL SEMI-MARKOV MODEL FOR LIMIT ORDER BOOKS (Q2986667) (← links)
• A Stochastic Model for Order Book Dynamics (Q3098255) (← links)
• MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY (Q3191840) (← links)
• Modeling the coupled return-spread high frequency dynamics of large tick assets (Q3302105) (← links)
• Apparent impact: the hidden cost of one-shot trades (Q3302298) (← links)
• Walks in the quarter plane: Analytic approach and applications (Q3451711) (← links)