A mathematical approach to order book modeling

International Journal of Theoretical and Applied Finance

Volumn 16, Issue 5, 2013, Pages

  Abergel, Frédéric ^a   Jedidi, Aymen ^a  

^a ECOLE CENTRALE PARIS   (France)

Author keywords

agent based modeling; bid ask spread; FCLT; geometric mixing; Limit order book; Markov chain; order flow; stochastic stability

Indexed keywords

EID: 84881010815     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024913500258     Document Type: Article

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