9 citations · 18 across the 11 of their papers we have counts for
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q-fin.TR2016
Limit order trading with a mean reverting reference price
Saran Ahuja, George Papanicolaou, Weiluo Ren +1
Optimal control models for limit order trading often assume that the underlying asset price is a Brownian motion since they deal with relatively short time scales. The resulting op…
q-fin.TR2015★ 9 cited
A reduced-form model for level-1 limit order books
Tzu-Wei Yang, Lingjiong Zhu
One popular approach to model the limit order books dynamics of the best bid and ask at level-1 is to use the reduced-form diffusion approximations. It is well known that the bigge…