A mathematical approach to order book modeling
Frédéric Abergel and Aymen Jedidi
| Year of publication: |
2013
|
|---|---|
| Authors: | Abergel, Frédéric ; Jedidi, Aymen |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 5, p. 1-40
|
| Subject: | Limit order book | agent-based modeling | order flow | bid-ask spread | Markov chain | stochastic stability | FCLT | geometric mixing | Theorie | Theory | Geld-Brief-Spanne | Bid-ask spread | Wertpapierhandel | Securities trading | Agentenbasierte Modellierung | Agent-based modeling | Markov-Kette | Marktmikrostruktur | Market microstructure | Stochastischer Prozess | Stochastic process | Börsenhandel | Stock exchange trading | Börsenkurs | Share price |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009784056