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GENERAL SEMI-MARKOV MODEL FOR LIMIT ORDER BOOKS - MaRDI portal

GENERAL SEMI-MARKOV MODEL FOR LIMIT ORDER BOOKS (Q2986667)

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GENERAL SEMI-MARKOV MODEL FOR LIMIT ORDER BOOKS
scientific article

    Statements

    title
    GENERAL SEMI-MARKOV MODEL FOR LIMIT ORDER BOOKS (English)
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    author
    Anatoliy Swishchuk
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    Tyler Hofmeister
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    Katharina Cera
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    Julia K. Schmidt
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    publication date
    16 May 2017
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    zbMATH Keywords
    limit order book
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    diffusion limit
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    market microstructure
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    Identifiers

    zbMATH DE Number
    6717920
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    arXiv ID
    1608.05060
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