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A functional limit theorem for limit order books with state dependent price dynamics
16 references·1 citing·49 second hop
A functional limit theorem for limit order books with state dependent price dynamics (2017)A functional limit theorem for limit orde…A Law of Large Numbers for Limit Order Books (2017)A Law of Large Numbers for Li…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…Simulating and Analyzing Order Book Data: The Queue-Reactive Model (2014)Simulating and Analyzing Orde…Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations (2012)Order Book Dynamics in Liquid…The market impact of a limit order (2011)The market impact of a limit …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 …Mean field games (2007)Mean field gamesAn introduction to stochastic partial differential equations (2006)An introduction to stochastic…What really causes large price changes? (2004)What really causes large pric…Functional Limit Theorems for a Simple Auction (2003)Functional Limit Theorems for…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…A Scaling Limit for Limit Order Books Driven by Hawkes Processes (2019)A Scaling Limit for Limit Ord…Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Mean Field Games and Applications (2010)Probabilistic Analysis of Mean-Field Games (2013)Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach (2021)Why Do Security Prices Change? 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References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 2007Mean field games2,638 cited
  • 2006An introduction to stochastic partial differential equations2,216 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 2010A Stochastic Model for Order Book Dynamics506 cited
  • 2004What really causes large price changes?276 cited
  • 2014Simulating and Analyzing Order Book Data: The Queue-Reactive Model153 cited
  • 2011The market impact of a limit order145 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
  • 2012Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations65 cited
  • 2016High Frequency Asymptotics for the Limit Order Book36 cited
  • 2017A Law of Large Numbers for Limit Order Books35 cited

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  • 2003Functional Limit Theorems for a Simple Auction30 cited
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    • 2019A Scaling Limit for Limit Order Books Driven by Hawkes Processes25 cited