A stochastic model for order book dynamics

Operations Research

Volumn 58, Issue 3, 2010, Pages 549-563

  Cont, Rama ^a   Stoikov, Sasha ^b   Talreja, Rishi ^a  

^a Fu Foundation School of Engineering and Applied Science   (United States)

^b School of Chemical and Molecular Engineering   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ANALYTICAL TRACTABILITY; CONTINUOUS TIME; EMPIRICAL PROPERTIES; FAST COMPUTATION; HIGH FREQUENCY DATA; HIGH FREQUENCY HF; LAPLACE TRANSFORM METHOD; LIMIT ORDER BOOK; MATRIX COMPUTATION; ORDER BOOK; TOKYO STOCK EXCHANGE; TRADING STRATEGIES;

COMPUTER SIMULATION; DYNAMICS; FREQUENCY ESTIMATION; LAPLACE TRANSFORMS; MATRIX ALGEBRA; PARAMETER ESTIMATION; STOCHASTIC MODELS; STOCHASTIC SYSTEMS; WAVELET TRANSFORMS;

CORRELATION THEORY;

EID: 77953582022     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1090.0780     Document Type: Article

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