Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes

Author:

Korolev V.Yu.,Chertok A.V.,Korchagin A.Yu.,Zeifman A.I.

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference63 articles.

1. A mathematical approach to order book modelling;Abergel,2011

2. High-frequency trading in a limit order book;Avellaneda;Quant. Financ.,2008

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4. Hyperbolic distributions and distributions of hyperbolae;Barndorff-Nielsen;Scand. J. Stat.,1978

5. Models for non-Gaussian variation, with applications to turbulence;Barndorff-Nielsen;Proc. R. Soc. London Ser. A,1979

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