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Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework
12 references·0 citing·39 second hopsampled
Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework (2017)Ergodicity and Diffusivity of Markovian O…High Frequency Asymptotics for the Limit Order Book (2016)High Frequency Asymptotics fo…Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis (2016)Efficiency of the Price Forma…Long-Time Behavior of a Hawkes Process--Based Limit Order Book (2015)Long-Time Behavior of a Hawke…Large Tick Assets: Implicit Spread and Optimal Tick Size (2015)Large Tick Assets: Implicit S…Simulating and Analyzing Order Book Data: The Queue-Reactive Model (2014)Simulating and Analyzing Orde…Price Dynamics in a Markovian Limit Order Market (2013)Price Dynamics in a Markovian…A Stochastic Model for Order Book Dynamics (2010)A Stochastic Model for Order …A Dynamic Model of the Limit Order Book (2009)A Dynamic Model of the Limit …Statistical theory of the continuous double auction (2003)Statistical theory of the con…Statistical properties of stock order books: empirical results and models (2002)Statistical properties of sto…Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Point Processes and Queues: Martingale Dynamics. (1983)The role of volume in order book dynamics: a multivariate Hawkes process analysis (2016)Ascertaining price formation in cryptocurrency markets with machine learning (2021)State-dependent Hawkes processes and their application to limit order book modelling (2021)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Estimating the components of the bid/ask spread (1988)Differences of Opinion Make a Horse Race (1993)Continuous Auctions and Insider Trading (1985)Price, trade size, and information in securities markets (1987)How Markets Slowly Digest Changes in Supply and Demand (2009)Optimal trading strategy and supply/demand dynamics (2012)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Introduction to Matrix Analytic Methods in Stochastic Modeling (1999)Optimal execution of portfolio transactions (2001)Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (2016)Enhancing trading strategies with order book signals (2018)Modelling Stock Markets by Multi-agent Reinforcement Learning (2020)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Théorie de la spéculation (1900)Introduction to Econophysics (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)More statistical properties of order books and price impact (2003)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)What really causes large price changes? (2004)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Empirical properties of asset returns: stylized facts and statistical issues (2001)Optimal high-frequency trading with limit and market orders (2012)Universal features of price formation in financial markets: perspectives from deep learning (2019)The Production of Human Capital and the Life Cycle of Earnings (1967)Mean field games (2007)Existence and Uniqueness Result for Mean Field Games with Congestion Effect on Graphs (2014)Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency (2017)A Mean-Field Game Approach to Price Formation (2020)Applied Probability and Queues (1987)Applied Probability and Queues (2003)Limit Order Book as a Market for Liquidity (2005)Limit order books (2013)Econophysics review: I. Empirical facts (2011)
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References

  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 2009A Dynamic Model of the Limit Order Book567 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
  • 2013Price Dynamics in a Markovian Limit Order Market294 cited
  • 2014Simulating and Analyzing Order Book Data: The Queue-Reactive Model153 cited
  • 2016Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis82 cited
  • 2015Long-Time Behavior of a Hawkes Process--Based Limit Order Book76 cited
  • 2015Large Tick Assets: Implicit Spread and Optimal Tick Size75 cited
  • 2016High Frequency Asymptotics for the Limit Order Book36 cited

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