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Non-uniformly sampled simulated price impact of an order-book - MaRDI portal

Non-uniformly sampled simulated price impact of an order-book

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Publication:6633282

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DOI10.1016/j.cam.2024.116202MaRDI QIDQ6633282

Derick Diana, Tim Gebbie

Publication date: 5 November 2024

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

anomalous diffusion price impact econophysics limit order book discrete time random walk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Sums of independent random variables; random walks (60G50) Financial applications of other theories (91G80) Financial markets (91G15)

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