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Simulating and analyzing order book data: the queue-reactive model

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https://hal.archives-ouvertes.fr/hal-01172326
Contributor : Serena Benassù <>
Submitted on : Tuesday, July 7, 2015 - 11:54:39 AM
Last modification on : Friday, March 27, 2020 - 4:00:20 AM

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  • HAL Id : hal-01172326, version 1

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W. Huang, C.A. Lehalle, M. Rosenbaum. Simulating and analyzing order book data: the queue-reactive model. Journal of the American Statistical Association, Taylor & Francis, 2015, 110 (509), pp.107-122. ⟨hal-01172326⟩

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