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1
A stochastic model for order book dynamics in online product markets
Mizuno, Takayuki
;
Nirei, Makoto
;
Watanabe, Tsutomu
- In:
Evolutionary and institutional economics review
10
(
2013
)
1
,
pp. 93-105
Persistent link: https://www.econbiz.de/10010241280
Saved in:
2
A mathematical approach to order book modeling
Abergel, Frédéric
;
Jedidi, Aymen
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-40
Persistent link: https://www.econbiz.de/10009784056
Saved in:
3
Algorithmic trading in a microstructural limit order book model
Abergel, Frédéric
;
Huré, Côme
;
Pham, Huyên
- In:
Quantitative finance
20
(
2020
)
8
,
pp. 1263-1283
Persistent link: https://www.econbiz.de/10012262662
Saved in:
4
Optimal execution with regime-switching market resilience
Siu, Chi Chung
;
Guo, Ivan
;
Zhu, Song-Ping
;
Elliott, …
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 17-40
Persistent link: https://www.econbiz.de/10012131017
Saved in:
5
Neural stochastic agent-based limit order book simulation with neural point process and diffusion probabilistic model
Shi, Zijian
;
Cartlidge, John
- In:
Intelligent systems in accounting, finance & management
31
(
2024
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014530827
Saved in:
6
Optimal limit order book trading strategies with stochastic volatility in the underlying asset
Aydoğan, Burcu
;
Uğur, Ömür
;
Aksoy, Ümit
- In:
Computational economics
62
(
2023
)
1
,
pp. 289-324
Persistent link: https://www.econbiz.de/10014327497
Saved in:
7
Improved volatility estimation based on limit order books
Bibinger, Markus
;
Jirak, Moritz
;
Reiß, Markus
-
2014
, which reveals an interesting connection to the
theory
of Brownian excursion areas. A major application is the estimation of …
Persistent link: https://www.econbiz.de/10010412417
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8
Short‐term stock price prediction based on limit order book dynamics
An, Yang
;
Chan, Ngai Hang
- In:
Journal of forecasting
36
(
2017
)
5
,
pp. 541-556
Persistent link: https://www.econbiz.de/10011860685
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9
Optimal high-frequency trading in a pro rata microstructure with predictive information
Guilbaud, Fabien
;
Pham, Huyên
- In:
Mathematical finance : an international journal of …
25
(
2015
)
3
,
pp. 545-575
Persistent link: https://www.econbiz.de/10011350572
Saved in:
10
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
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