Modeling Order Book Dynamics Using Queues and Point Processes

[1]  J. Doob Stochastic processes , 1953 .

[2]  Ward Whitt,et al.  Computing Laplace Transforms for Numerical Inversion Via Continued Fractions , 1999, INFORMS J. Comput..

[3]  Lokenath Debnath,et al.  Introduction to the Theory and Application of the Laplace Transformation , 1974, IEEE Transactions on Systems, Man, and Cybernetics.

[4]  Howard Shek Modeling High Frequency Market Order Dynamics Using Self-Excited Point Process , 2011 .

[5]  J. Keilson Markov Chain Models--Rarity And Exponentiality , 1979 .

[6]  M. Mézard,et al.  Statistical Properties of Stock Order Books: Empirical Results and Models , 2002 .

[7]  Rama Cont,et al.  Price Dynamics in a Markovian Limit Order Market , 2011, SIAM J. Financial Math..

[8]  Ioanid Roşu A Dynamic Model of the Limit Order Book , 2008 .

[9]  Sلأren Asmussen,et al.  Applied Probability and Queues , 1989 .

[10]  Christine A. Parlour,et al.  Equilibrium in a Dynamic Limit Order Market , 2003 .

[11]  M. Avellaneda,et al.  High-frequency trading in a limit order book , 2008 .

[12]  Luc Bauwens,et al.  Département des Sciences Économiques de l'Université catholique de Louvain Modelling Financial High Frequency Data Using Point Processes , 2019 .

[13]  Rama Cont,et al.  A Stochastic Model for Order Book Dynamics , 2008, Oper. Res..

[14]  Yosihiko Ogata,et al.  On Lewis' simulation method for point processes , 1981, IEEE Trans. Inf. Theory.

[15]  Extinction times for a general birth, death and catastrophe process , 2004 .

[16]  Y. Ogata The asymptotic behaviour of maximum likelihood estimators for stationary point processes , 1978 .

[17]  A. Hawkes Spectra of some self-exciting and mutually exciting point processes , 1971 .

[18]  Alexander I. Zeifman,et al.  Extinction probability in a birth-death process with killing , 2005 .

[19]  P. J. Brockwell The extinction time of a general birth and death process with catastrophes , 1986 .

[20]  J. Gani,et al.  Birth, immigration and catastrophe processes , 1982, Advances in Applied Probability.

[21]  Ward Whitt,et al.  Numerical Inversion of Laplace Transforms of Probability Distributions , 1995, INFORMS J. Comput..

[22]  Henry C. Thacher,et al.  Applied and Computational Complex Analysis. , 1988 .

[23]  Richard Johnsonbaugh Summing an Alternating Series , 1979 .

[24]  Xiuli Chao,et al.  TRANSIENT ANALYSIS OF IMMIGRATION BIRTH–DEATH PROCESSES WITH TOTAL CATASTROPHES , 2003, Probability in the Engineering and Informational Sciences.

[25]  Christine A. Parlour Price Dynamics in Limit Order Markets , 1998 .

[26]  Yosihiko Ogata,et al.  Statistical Models for Earthquake Occurrences and Residual Analysis for Point Processes , 1988 .

[27]  Frank E. Grubbs,et al.  An Introduction to Probability Theory and Its Applications , 1951 .

[28]  Daryl J. Daley,et al.  An Introduction to the Theory of Point Processes , 2013 .

[29]  P. Brémaud Point processes and queues, martingale dynamics , 1983 .