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high frequency asymptotics
2
Asymptotic results
1
Börsenkurs
1
Limit order book
1
Pearson diffu- sions
1
Securities trading
1
Share price
1
Stochastic process
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Stochastischer Prozess
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Theorie
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Theory
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Wertpapierhandel
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discrete time observation of a diffusion
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efficiency
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eigenfunctions
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explicit inference
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generalized method of moments
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likelihood infer- ence
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local time
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martingale estimating functions
1
measure valued process
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reflected Brownian motion
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transient and long term behavior
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weak convergence
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English
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Lakner, Peter
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Reed, Josh
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Stoikov, Sasha
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Sørensen, Michael
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School of Economics and Management, University of Aarhus
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Market microstructure and liquidity
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ECONIS (ZBW)
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High
frequency
asymptotics
for the limit order book
Lakner, Peter
;
Reed, Josh
;
Stoikov, Sasha
- In:
Market microstructure and liquidity
2
(
2016
)
1
,
pp. 1-83
Persistent link: https://www.econbiz.de/10011588237
Saved in:
2
Parametric inference for discretely sampled stochastic differential equations
Sørensen, Michael
-
School of Economics and Management, University of Aarhus
-
2008
estimating functions. Results on both fixed frequency and
high
frequency
asymptotics
are given. When choosing among the many …
Persistent link: https://www.econbiz.de/10005440043
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