ScienceGate
Advanced Search
Author Search
Journal Finder
Blog
Sign in / Sign up
ScienceGate
Search
Author Search
Journal Finder
Blog
Sign in / Sign up
The Santa Fe Model for Limit Order Books
Trades, Quotes and Prices
◽
10.1017/9781316659335.012
◽
2018
◽
pp. 134-158
Keyword(s):
Fe Model
◽
Santa Fe
◽
Limit Order
◽
Order Books
◽
Limit Order Books
Download Full-text
Related Documents
Cited By
References
Limit Order Books
10.1017/cbo9781316683040
◽
2015
◽
Cited By ~ 14
Author(s):
Frederic Abergel
◽
Anirban Chakraborti
◽
Aymen Jedidi
◽
Ioane Muni Toke
◽
Marouane Anane
Keyword(s):
Limit Order
◽
Order Books
◽
Limit Order Books
Download Full-text
Deep learning for limit order books
Quantitative Finance
◽
10.1080/14697688.2018.1546053
◽
2018
◽
Vol 19
(4)
◽
pp. 549-570
◽
Cited By ~ 18
Author(s):
Justin A. Sirignano
Keyword(s):
Deep Learning
◽
Limit Order
◽
Order Books
◽
Limit Order Books
Download Full-text
Applications of IHRE in High-Frequency Trading: Limit Order Books and their Semi-Markovian Modeling and Implementations
Inhomogeneous Random Evolutions and Their Applications
◽
10.1201/9780429457548-7
◽
2019
◽
pp. 179-207
Author(s):
Anatoliy Swishchuk
Keyword(s):
High Frequency
◽
High Frequency Trading
◽
Limit Order
◽
Order Books
◽
Limit Order Books
Download Full-text
General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics
SSRN Electronic Journal
◽
10.2139/ssrn.2820221
◽
2016
◽
Cited By ~ 1
Author(s):
Anatoliy V. Swishchuk
◽
Katharina Cera
◽
Tyler Hofmeister
Keyword(s):
Markov Model
◽
Limit Order
◽
Order Books
◽
Limit Order Books
Download Full-text
What drives the sensitivity of limit order books to company announcement arrivals?
Economics Letters
◽
10.1016/j.econlet.2017.07.018
◽
2017
◽
Vol 159
◽
pp. 65-68
◽
Cited By ~ 7
Author(s):
Milla Siikanen
◽
Juho Kanniainen
◽
Arto Luoma
Keyword(s):
Limit Order
◽
Order Books
◽
Limit Order Books
Download Full-text
Optimal Execution Strategies in Limit Order Books with General Shape Functions
SSRN Electronic Journal
◽
10.2139/ssrn.1510104
◽
2009
◽
Cited By ~ 5
Author(s):
Aurélien Alfonsi
◽
Antje Fruth
◽
Alexander Schied
Keyword(s):
Shape Functions
◽
General Shape
◽
Limit Order
◽
Optimal Execution
◽
Order Books
◽
Limit Order Books
Download Full-text
A functional limit theorem for limit order books with state dependent price dynamics
The Annals of Applied Probability
◽
10.1214/16-aap1265
◽
2017
◽
Vol 27
(5)
◽
pp. 2753-2806
◽
Cited By ~ 6
Author(s):
Christian Bayer
◽
Ulrich Horst
◽
Jinniao Qiu
Keyword(s):
Limit Theorem
◽
Functional Limit Theorem
◽
Price Dynamics
◽
Functional Limit
◽
Limit Order
◽
State Dependent
◽
Order Books
◽
Limit Order Books
Download Full-text
Stochastic Market Microstructure Models of Limit Order Books (abstract only)
10.1287/educ.2020.0222
◽
2020
◽
Author(s):
Costis Maglaras
◽
Rama Cont
Keyword(s):
Market Microstructure
◽
Limit Order
◽
Order Books
◽
Limit Order Books
◽
Stochastic Market
Download Full-text
Electronic Limit Order Books and Market Resiliency: Theory, Evidence, and Practice
Advances in Quantitative Analysis of Finance & Accounting - Advances in Quantitative Analysis of Finance and Accounting
◽
10.1142/9789812707291_0002
◽
2006
◽
pp. 19-37
◽
Cited By ~ 3
Author(s):
Mark Coppejans
◽
Ian Domowitz
◽
Ananth Madhavan
Keyword(s):
Limit Order
◽
Resiliency Theory
◽
Order Books
◽
Limit Order Books
Download Full-text
Limit order books and liquidity around scheduled and non-scheduled announcements: Empirical evidence from NASDAQ Nordic
Finance Research Letters
◽
10.1016/j.frl.2016.12.016
◽
2017
◽
Vol 21
◽
pp. 264-271
◽
Cited By ~ 11
Author(s):
Milla Siikanen
◽
Juho Kanniainen
◽
Jaakko Valli
Keyword(s):
Empirical Evidence
◽
Limit Order
◽
Order Books
◽
Limit Order Books
Download Full-text
Sign in / Sign up
Close
Export Citation Format
Close
Share Document
Close