Similar Search Results

Stochastic simulation framework for the limit order book using liquidity-motivated agents

Panayi, Efstathios; Peters, Gareth W. - In: International journal of financial engineering 2 (2015) 2, pp. 1-52

Persistent link: https://www.econbiz.de/10011333470

Stochastic Simulation Framework for the Limit Order Book Using Liquidity Motivated Agents

Panayi, Efstathios - 2015

In this paper we develop a new form of agent-based model for limit order books based on heterogeneous trading agents, whose motivations are liquidity driven. These agents are abstractions of real market participants, expressed in a stochastic model framework. We develop an efficient way to...

Persistent link: https://www.econbiz.de/10013030178

Analytic loss distributional approach models for operational risk from the image-stable doubly stochastic compound processes and implications for capital allocation

Peters, Gareth W.; Shevchenko, Pavel V.; Young, Mark; … - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 565-579

Persistent link: https://www.econbiz.de/10009404668

A unified approach to mortality modelling using state-space framework : characterisation, identification, estimation and forecasting

Fung, Man Chung; Peters, Gareth; Shevchenko, Pavel V. - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 343-389

Persistent link: https://www.econbiz.de/10011820669

A dynamic stochastic integrated climate-conomic spatiotemporal model for agricultural insurance products

Gao, Suikai; Bagnarosa, Guillaume; Peters, Gareth; … - In: North American actuarial journal : NAAJ ; leading the … 28 (2024) 1, pp. 27-6

Persistent link: https://www.econbiz.de/10014513807

Model risk in mortality-linked contingent claims pricing

Peters, Gareth; Yan, Hongxuan; Chan, Jennifer So Kuen - In: The journal of risk model validation 16 (2022) 3, pp. 1-53

Persistent link: https://www.econbiz.de/10014540592