Pages that link to "Item:Q5219304"
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The following pages link to A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies (Q5219304):
Displaying 15 items.
- 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)
- Exact Hurst exponent and crossover behavior in a limit order market model (Q1847461) (← links)
- A switching self-exciting jump diffusion process for stock prices (Q2000696) (← links)
- Modelling of limit order books by general compound Hawkes processes with implementations (Q2241518) (← links)
- A dynamic model of the limit order book (Q2284921) (← links)
- A switching microstructure model for stock prices (Q2312402) (← links)
- A one-level limit order book model with memory and variable spread (Q2360238) (← links)
- Price dynamics in a Markovian limit order market (Q2873118) (← links)
- THE BEHAVIOR OF A THRESHOLD MODEL OF MARKET PRICE IN STOCK EXCHANGE (Q4359189) (← links)
- How much market making does a market need? (Q4555283) (← links)
- A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics (Q4958392) (← links)
- Optimal Auction Duration: A Price Formation Viewpoint (Q5031656) (← links)
- Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model (Q5886357) (← links)
- Approximation and comparison of the empirical liquidity cost function for various futures contracts (Q6117560) (← links)