Price Dynamics in a Markovian Limit Order Market

SIAM Journal on Financial Mathematics ◽

10.1137/110856605 ◽

2013 ◽

Vol 4 (1) ◽

pp. 1-25 ◽

Author(s):

Rama Cont ◽

Adrien de Larrard

Keyword(s):

Price Dynamics ◽

Limit Order ◽

Limit Order Market ◽

Markovian Limit

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Price Dynamics in a Markovian Limit Order Market

SSRN Electronic Journal ◽

10.2139/ssrn.1735338 ◽

2012 ◽

Author(s):

Rama Cont ◽

Adrien de Larrard

Keyword(s):

Price Dynamics ◽

Limit Order ◽

Limit Order Market ◽

Markovian Limit

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A Correction Note for Price Dynamics in a Markovian Limit Order Market

SIAM Journal on Financial Mathematics ◽

10.1137/16m1057437 ◽

2016 ◽

Vol 7 (1) ◽

pp. 152-158

Author(s):

Geliang Zhang ◽

Hugh Christensen ◽

Guolong Li ◽

Simon Godsill

Keyword(s):

Price Dynamics ◽

Limit Order ◽

Limit Order Market ◽

Markovian Limit

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Order Aggressiveness Strategies by Trader Types in a Limit Order Market: Evidence from Taiwan Index Futures

SSRN Electronic Journal ◽

10.2139/ssrn.2326816 ◽

2013 ◽

Author(s):

Junmao Chiu ◽

Huimin Chung ◽

George H. K. Wang

Keyword(s):

Limit Order ◽

Index Futures ◽

Limit Order Market

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Weather and Time Series Determinants of Liquidity in a Limit Order Market

SSRN Electronic Journal ◽

10.2139/ssrn.1108862 ◽

2009 ◽

Author(s):

Juhani T. Linnainmaa ◽

Ioanid Rosu

Keyword(s):

Time Series ◽

Limit Order ◽

Limit Order Market

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Undisclosed Orders and Optimal Submission Strategies in a Dynamic Limit Order Market

SSRN Electronic Journal ◽

10.2139/ssrn.1100303 ◽

2011 ◽

Author(s):

Sabrina Buti ◽

Barbara Rindi

Keyword(s):

Limit Order ◽

Limit Order Market

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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 ◽

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

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Undisclosed orders and optimal submission strategies in a limit order market

Journal of Financial Economics ◽

10.1016/j.jfineco.2013.04.002 ◽

2013 ◽

Vol 109 (3) ◽

pp. 797-812 ◽

Author(s):

Sabrina Buti ◽

Barbara Rindi

Keyword(s):

Limit Order ◽

Limit Order Market

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Rethinking Zero Returns in the Liquidity Puzzle of a Limit Order Market

Finance ◽

10.3917/fina.362.0007 ◽

2015 ◽

Vol 36 (2) ◽

pp. 7 ◽

Author(s):

Paolo Mazza

Keyword(s):

Limit Order ◽

Limit Order Market

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An agent-based model of financial returns in a limit order market

Practical Fruits of Econophysics ◽

10.1007/4-431-28915-1_28 ◽

2006 ◽

pp. 158-162

Author(s):

Koichi Hamada ◽

Kouji Sasaki ◽

Toshiaki Watanabe

Keyword(s):

Financial Returns ◽

Agent Based Model ◽

Limit Order ◽

Agent Based ◽

Limit Order Market

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Continuous time trading of a small investor in a limit order market

Stochastic Processes and their Applications ◽

10.1016/j.spa.2013.01.017 ◽

2013 ◽

Vol 123 (6) ◽

pp. 2011-2053 ◽

Author(s):

Christoph Kühn ◽

Maximilian Stroh

Keyword(s):

Continuous Time ◽

Limit Order ◽

Limit Order Market

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