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HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
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HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS (2016)HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICSPrice Dynamics in a Markovian Limit Order Market (2013)Price Dynamics in a Markovian…Limit order books (2013)Limit order booksOptimal trading strategy and supply/demand dynamics (2012)Optimal trading strategy and …Optimal Execution in a General One-Sided Limit-Order Book (2011)Optimal Execution in a Genera…A Stochastic Model for Order Book Dynamics (2010)A Stochastic Model for Order …Optimal execution strategies in limit order books with general shape functions (2009)Optimal execution strategies …A Dynamic Model of the Limit Order Book (2009)A Dynamic Model of the Limit …Limit Order Markets: A Survey (2008)Limit Order Markets: A SurveyOrder book approach to price impact (2005)Order book approach to price …Statistical theory of the continuous double auction (2003)Statistical theory of the con…More statistical properties of order books and price impact (2003)More statistical properties o…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Statistical properties of stock order books: empirical results and models (2002)Statistical properties of sto…Price variations in a stock market with many agents (1997)Price variations in a stock m…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Point Processes and Queues: Martingale Dynamics. (1983)Point Processes and Queues: M…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)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)A Theory of Auctions and Competitive Bidding (1982)Order flow composition and trading costs in a dynamic limit order market (1999)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Human behavior and the principle of least effort (1949)Competing Technologies, Increasing Returns, and Lock-In by Historical Events (1989)Noise Trader Risk in Financial Markets (1990)A Langevin approach to stock market fluctuations and crashes (1998)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Théorie de la spéculation (1900)Introduction to Econophysics (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)What really causes large price changes? (2004)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Empirical properties of asset returns: stylized facts and statistical issues (2001)Econophysics review: I. Empirical facts (2011)Optimal control of execution costs (1998)Optimal execution of portfolio transactions (2001)No-dynamic-arbitrage and market impact (2010)A Theory of Intraday Patterns: Volume and Price Variability (1988)Dynamic Trading with Predictable Returns and Transaction Costs (2013)The Price Impact of Order Book Events (2013)Applied Probability and Queues (1987)Applied Probability and Queues (2003)Limit Order Book as a Market for Liquidity (2005)Universal features of price formation in financial markets: perspectives from deep learning (2019)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
this work references cited by second hop

References

  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1983Point Processes and Queues: Martingale Dynamics.1,065 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 2012Optimal trading strategy and supply/demand dynamics560 cited
  • 2010A Stochastic Model for Order Book Dynamics506 cited
  • 2009Optimal execution strategies in limit order books with general shape functions408 cited
  • 1997Price variations in a stock market with many agents398 cited
  • 2002Statistical properties of stock order books: empirical results and models358 cited
  • 2003Statistical theory of the continuous double auction349 cited
  • 2013Limit order books310 cited
  • 2013Price Dynamics in a Markovian Limit Order Market294 cited
  • 2003More statistical properties of order books and price impact289 cited
  • 2008Limit Order Markets: A Survey202 cited
  • 2011Optimal Execution in a General One-Sided Limit-Order Book183 cited
  • 2005Order book approach to price impact169 cited

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