Simulating and Analyzing Order Book Data: The Queue-Reactive Model

Journal of the American Statistical Association

Volumn 110, Issue 509, 2015, Pages 107-122

  Huang, Weibing ^a   Lehalle, Charles Albert ^b   Rosenbaum, Mathieu ^a  

^a SORBONNE UNIVERSITÉ   (France)

^b Capital Fund Management   (France)

Author keywords

Ergodic properties; Execution probability; High frequency data; Jump Markov process; Limit order book; Market impact; Market microstructure; Market simulator; Mechanical volatility; Queuing model; Transaction costs analysis; Volatility

Indexed keywords

EID: 84928236264     PISSN: 01621459     EISSN: 1537274X     Source Type: Journal    
DOI: 10.1080/01621459.2014.982278     Document Type: Article

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