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A generalized birth–death stochastic model for high-frequency order book dynamics
12 references·2 citing·36 second hop
A generalized birth–death stochastic model for high-frequency order book dynamics (2012)A generalized birth–death stochastic mode…Econophysics review: I. Empirical facts (2011)Econophysics review: I. Empir…“Market Making” in an Order Book Model and Its Impact on the Spread (2011)“Market Making” in an Order B…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 …High-frequency trading in a limit order book (2008)High-frequency trading in a l…Equilibrium in a Dynamic Limit Order Market (2005)Equilibrium in a Dynamic Limi…Applied Probability and Queues (2003)Applied Probability and QueuesStatistical 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…Estimating the profits from trading strategies (1996)Estimating the profits from t…Applied Probability and Queues (1987)Applied Probability and QueuesHYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS (2016)HYDRODYNAMIC LIMIT OF ORDER-B…Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes (2015)Modeling high-frequency order…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)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)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Correlation of financial markets in times of crisis (2011)Optimal high-frequency trading with limit and market orders (2012)Physics and financial economics (1776–2014): puzzles, Ising and agent-based models (2014)Optimal dealer pricing under transactions and return uncertainty (1981)Market microstructure theory (1995)Buy Low Sell High: A High Frequency Trading Perspective (2011)Dealing with the inventory risk: a solution to the market making problem (2012)Handbook of the Economics of Finance (2013)Recent advances in reinforcement learning in finance (2023)Introduction to Econophysics (1999)Empirical properties of asset returns: stylized facts and statistical issues (2001)Statistical theory of the continuous double auction (2003)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Limit Order Book as a Market for Liquidity (2005)Limit order books (2013)Price Dynamics in a Markovian Limit Order Market (2013)Universal features of price formation in financial markets: perspectives from deep learning (2019)Stability properties of constrained queueing systems and scheduling policies for maximum throughput in multihop radio networks (1992)Dynamic server allocation to parallel queues with randomly varying connectivity (1993)Asset Pricing with Heterogeneous Consumers (1996)Informed traders and limit order markets (2009)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)Do Dark Pools Harm Price Discovery? (2013)An Introduction to Numerical Transform Inversion and Its Application to Probability Models (2000)M/G/1 queue with multiple working vacations (2005)
this work references cited by second hop

References

  • 1987Applied Probability and Queues2,704 cited
  • 2003Applied Probability and Queues1,453 cited
  • 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
  • 2008High-frequency trading in a limit order book496 cited
  • 2005Equilibrium in a Dynamic Limit Order Market439 cited
  • 2002Statistical properties of stock order books: empirical results and models358 cited
  • 2011Econophysics review: I. Empirical facts345 cited
  • 1996Estimating the profits from trading strategies138 cited
  • 2011“Market Making” in an Order Book Model and Its Impact on the Spread70 cited

Cited by

  • 2016HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS23 cited
  • 2015Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes21 cited

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