Modeling high-frequency order flow imbalance by functional...

Applied Mathematics and Computation 2015 / 02 Vol. 253

Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes

Korolev, V.Yu., Chertok, A.V., Korchagin, A.Yu., Zeifman, A.I.
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Volume:
253
Language:
english
Journal:
Applied Mathematics and Computation
DOI:
10.1016/j.amc.2014.12.085
Date:
February, 2015
File:
PDF, 1.24 MB
english, 2015
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