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High Frequency Asymptotics for the Limit Order Book
16 references·3 citing·34 second hop
High Frequency Asymptotics for the Limit Order Book (2016)High Frequency Asymptotics for the Limit …Price Dynamics in a Markovian Limit Order Market (2013)Price Dynamics in a Markovian…Volatility and Time Series Econometrics (2010)Volatility and Time Series Ec…A Stochastic Model for Order Book Dynamics (2010)A Stochastic Model for Order …Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Fundamentals of Queueing Networks: Performance, Asymptotics, and Optimization (2004)Fundamentals of Queueing Netw…Statistical theory of the continuous double auction (2003)Statistical theory of the con…Applied Probability and Queues (2003)Applied Probability and QueuesLimit Orders and Volatility in a Hybrid Market: The Island Ecn (2002)Limit Orders and Volatility i…Fundamentals of Queueing Networks (2001)Fundamentals of Queueing Netw…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochasti…Applied Probability and Queues (1987)Applied Probability and QueuesMarket Making and the Changing Structure of the Securities Industry (1985)Market Making and the Changin…Market Behavior in a Clearing House (1982)Market Behavior in a Clearing…A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics (2017)A Weak Law of Large Numbers f…A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies (2017)A Markov Model of a Limit Ord…A Model for Queue Position Valuation in a Limit Order Book (2016)A Model for Queue Position Va…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)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Limit Order Book as a Market for Liquidity (2005)Limit order books (2013)Universal features of price formation in financial markets: perspectives from deep learning (2019)A survey of retrial queueing systems (2015)Pricing in Ride-Share Platforms: A Queueing-Theoretic Approach (2015)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)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)Time-changed Lévy processes and option pricing (2003)Selection, Growth, and the Size Distribution of Firms (2007)A Continuous-Time Version of the Principal–Agent Problem (2008)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)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

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1987Applied Probability and Queues2,704 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 2003Applied Probability and Queues1,453 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1987Brownian Motion and Stochastic Flow Systems.1,091 cited
  • 2001Fundamentals of Queueing Networks530 cited
  • 2010A Stochastic Model for Order Book Dynamics506 cited
  • 2003Statistical theory of the continuous double auction349 cited
  • 2013Price Dynamics in a Markovian Limit Order Market294 cited
  • 2004Fundamentals of Queueing Networks: Performance, Asymptotics, and Optimization291 cited
  • 2010Volatility and Time Series Econometrics190 cited
  • 1982Market Behavior in a Clearing House184 cited
  • 1985Market Making and the Changing Structure of the Securities Industry139 cited
  • 2002Limit Orders and Volatility in a Hybrid Market: The Island Ecn129 cited

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Cited by

  • 2016A Model for Queue Position Valuation in a Limit Order Book31 cited
  • 2017A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies28 cited
  • 2017A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics28 cited