Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes (Q298830)
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scientific article; zbMATH DE number 6595865
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes |
scientific article; zbMATH DE number 6595865 |
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Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes (English)
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21 June 2016
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limit order book
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price discovery
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order flow imbalance
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doubly stochastic Poisson processes
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Cox processes
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two-sided risk process
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