5 citations · 5 across the 1 of their papers we have counts for
2 papers
q-fin.ST2019★ 5 cited
From asymptotic properties of general point processes to the ranking of financial agents
Othmane Mounjid, Mathieu Rosenbaum, Pamela Saliba
We propose a general non-linear order book model that is built from the individual behaviours of the agents. Our framework encompasses Markovian and Hawkes based models. Under mild…
q-fin.TR2019
From Glosten-Milgrom to the whole limit order book and applications to financial regulation
Weibing Huang, Sergio Pulido, Mathieu Rosenbaum +2
We build an agent-based model for the order book with three types of market participants: informed trader, noise trader and competitive market makers. Using a Glosten-Milgrom like…