A MATHEMATICAL APPROACH TO ORDER BOOK MODELING
Year of publication: |
2013
|
---|---|
Authors: | ABERGEL, FRÉDÉRIC ; JEDIDI, AYMEN |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 16.2013, 05, p. 1350025-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Limit order book | agent-based modeling | order flow | bid-ask spread | Markov chain | stochastic stability | FCLT | geometric mixing |
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