A Mathematical Approach to Order Book Modelling
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Publisher
Springer Milan
Link
http://link.springer.com/content/pdf/10.1007/978-88-470-1766-5_7
Reference14 articles.
1. W. Whitt. Stochastic — Process Limits. Springer, 2002
2. E. Smith, D. Farmer, L. Guillemot, and S. Krishnamurthy. Statistical theory of the continuous double auction. Quantitative Finance, 2003
3. R. Cont, S. Stoikov, and R. Talreja. A stochastic model for order book dynamics. Operations Research, 2008
4. P. Robert. Stochastic Networks and Queues. Springer, 2003
5. F. Abergel and A. Jedidi. In preparation
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