A generalized birth–death stochastic model for high-frequency order book dynamics (Q2873024)
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scientific article; zbMATH DE number 6247134
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A generalized birth–death stochastic model for high-frequency order book dynamics |
scientific article; zbMATH DE number 6247134 |
Statements
A generalized birth–death stochastic model for high-frequency order book dynamics (English)
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17 January 2014
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limit order book
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birth-death processes
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high-frequency data
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first passage times
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automated trading
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