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A Mathematical Approach to Order Book Modelling

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References

2005Introduction to Stochastic Calculus with Applications569 cited
2010A Stochastic Model for Order Book Dynamics506 cited
2002Statistical properties of stock order books: empirical results and models358 cited
2003Statistical theory of the continuous double auction349 cited
2003Stochastic Networks and Queues297 cited
2010Zero-intelligence realized variance estimation96 cited

Cited by

2015Dynamic optimal execution in a mixed-market-impact Hawkes price model62 cited
2014Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit42 cited
2016Statistical inference for ergodic point processes and application to Limit Order Book42 cited
2013Optimal posting price of limit orders: learning by trading36 cited
2016High Frequency Asymptotics for the Limit Order Book36 cited
2017A Law of Large Numbers for Limit Order Books35 cited
2015Semi-Markov Model for Market Microstructure30 cited
2015American Option Valuation under Continuous-Time Markov Chains29 cited
2016Modelling intensities of order flows in a limit order book27 cited

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