Order book dynamics with liquidity fluctuations: asymptotic analysis of highly competitive regime (2023)
- Authors:
- Autor USP: IAMBARTSEV, ANATOLI - IME
- Unidade: IME
- DOI: 10.3390/math11204235
- Subjects: PROBABILIDADE; PROCESSOS ESTOCÁSTICOS; PROCESSOS DE MARKOV
- Keywords: limit order book; liquidity fluctuations; Markov process; large deviations; flash crash
- Agências de fomento:
- Language: Inglês
- Imprenta:
- Source:
- Título do periódico: Mathematics
- ISSN: 2227-7390
- Volume/Número/Paginação/Ano: v. 11, n. 20, artigo n. 4235, p. 1-24, 2023
- Este periódico é de acesso aberto
- Este artigo é de acesso aberto
- URL de acesso aberto
- Cor do Acesso Aberto: gold
- Licença: cc-by
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ABNT
ROJAS, Helder e LOGACHOV, Artem e IAMBARTSEV, Anatoli. Order book dynamics with liquidity fluctuations: asymptotic analysis of highly competitive regime. Mathematics, v. 11, n. artigo 4235, p. 1-24, 2023Tradução . . Disponível em: https://doi.org/10.3390/math11204235. Acesso em: 11 jun. 2024. -
APA
Rojas, H., Logachov, A., & Iambartsev, A. (2023). Order book dynamics with liquidity fluctuations: asymptotic analysis of highly competitive regime. Mathematics, 11( artigo 4235), 1-24. doi:10.3390/math11204235 -
NLM
Rojas H, Logachov A, Iambartsev A. Order book dynamics with liquidity fluctuations: asymptotic analysis of highly competitive regime [Internet]. Mathematics. 2023 ; 11( artigo 4235): 1-24.[citado 2024 jun. 11 ] Available from: https://doi.org/10.3390/math11204235 -
Vancouver
Rojas H, Logachov A, Iambartsev A. Order book dynamics with liquidity fluctuations: asymptotic analysis of highly competitive regime [Internet]. Mathematics. 2023 ; 11( artigo 4235): 1-24.[citado 2024 jun. 11 ] Available from: https://doi.org/10.3390/math11204235 - Lack of phase transitions in staggered magnetic systems. A comparison of uniqueness criteria
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Informações sobre o DOI: 10.3390/math11204235 (Fonte: oaDOI API)
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