3 citations · 4 across the 2 of their papers we have counts for
2 papers
q-fin.MF2015★ 3 cited
A law of large numbers for limit order books
Ulrich Horst, Michael Paulsen
We define a stochastic model of a two-sided limit order book in terms of its key quantities \textit{best bid [ask] price} and the \textit{standing buy [sell] volume density}. For a…
math.CO2003★ 1 cited
Enumeration of concave integer partitions
Jan Snellman, Michael Paulsen
An integer partition λof n corresponds, via its Ferrers diagram, to an artinian monomial ideal I of colength n in the polynomial ring on two variables. If the partition λcorrespond…