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Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 88, Issue 3, 2013, Pages

Fokker-Planck description for the queue dynamics of large tick stocks

(4) Gareche A a Disdier, G a Kockelkoren, J a Bouchaud, J P a

a Capital Fund Management (France)

Author keywords

[No Author keywords available]

Indexed keywords

DYNAMICAL CORRELATIONS; DYNAMICAL PROCESS; HIGH FREQUENCY DATA; ROTATIONAL CONTRIBUTIONS; SCALE INVARIANT; STATE DEPENDENCE; STATISTICAL DESCRIPTIONS; TWO-DIMENSIONAL STRUCTURES;

DYNAMICS; QUEUEING THEORY; TWO DIMENSIONAL;

FOKKER PLANCK EQUATION;

EID: 84885149848 PISSN: 15393755 EISSN: 15502376 Source Type: Journal
DOI: 10.1103/PhysRevE.88.032809 Document Type: Article

Times cited : (24)

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