Estimation of zero-intelligence models by L1 data

DOI10.1080/14697688.2016.1149612zbMath1400.91669arXiv1504.05714OpenAlexW1579043027MaRDI QIDQ4554513

Martin Šmíd

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.05714

zbMATH Keywords

stochastic modelslimit order marketeconometric methods

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Uses Software

• NLopt

Cites Work

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• Econophysics of order-driven markets. Proceedings of the 5th Econophys-Kolkata conference, Kolkata, India, March 2010
• Basic properties of strong mixing conditions. A survey and some open questions
• A Stochastic Model for Order Book Dynamics
• A steady-state model of the continuous double auction
• Statistical theory of the continuous double auction
• An Introduction to the Theory of Point Processes
• Analyzing and modeling 1+1d markets

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