Pages that link to "Item:Q3098255"

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

Displaying 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)
• Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model (Q829150) (← links)
• Functional modelling of volatility in the Swedish limit order book (Q961406) (← links)
• Order flow and the bid-ask spread: an empirical probability model of screen-based trading (Q1391446) (← 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)
• Analysis of a decision model in the context of equilibrium pricing and order book pricing (Q1783178) (← 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 level-1 limit order book with time dependent arrival rates (Q2283666) (← 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)
• The dynamic evolution of the limit order book driven by order flows (Q2887623) (← 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)
• (Q2941804) (← links)