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A Mathematical Approach to Order Book Modelling · Study

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ChapterA Mathematical Approach to Order Book Modelling

Frédéric Abergel2011

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Chaptergreen2011

A Mathematical Approach to Order Book Modelling

Frédéric Abergel · Aymen Jedidi

67 citations·0/0 files stored·New economic windows

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Stochastic processes and financial applications Financial Markets and Investment Strategies Complex Systems and Time Series Analysis

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References

2005Introduction to Stochastic Calculus with Applications 2010A Stochastic Model for Order Book Dynamics 2002Statistical properties of stock order books: empirical results and models 2003Statistical theory of the continuous double auction 2003Stochastic Networks and Queues 2010Zero-intelligence realized variance estimation

Cited by

2015Dynamic optimal execution in a mixed-market-impact Hawkes price model 2014Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit 2016Statistical inference for ergodic point processes and application to Limit Order Book 2013Optimal posting price of limit orders: learning by trading 2016High Frequency Asymptotics for the Limit Order Book 2017A Law of Large Numbers for Limit Order Books 2015Semi-Markov Model for Market Microstructure 2015American Option Valuation under Continuous-Time Markov Chains

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2011A Mathematical Approach to Order Book Modelingpreprint · 5 shared references 2013A MATHEMATICAL APPROACH TO ORDER BOOK MODELINGarticle · 4 shared references 2011Econophysics review: II. Agent-based modelsarticle · 3 shared references 2011Statistical Modeling of High-Frequency Financial Dataarticle · 3 shared references 2015Long-Time Behavior of a Hawkes Process--Based Limit Order Bookarticle · 3 shared references 2012Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximationspreprint · 3 shared references

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Year2011

Typechapter

Published2011-01-01

VenueNew economic windows

ISSN-L2039-411X

Languageen

Citations67

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-88-470-1766-5_7

openalex_workW1532887906

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