Modeling Order Book Dynamics Using Queues and Point Processes
暂无分享,去创建一个
[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 .