6 citations · 6 across the 4 of their papers we have counts for
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q-fin.TR2024
A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes
Hamza Bodor, Laurent Carlier
In this article, we delve into the applications and extensions of the queue-reactive model for the simulation of limit order books. Our approach emphasizes the importance of order…
q-fin.ST2024
Stylized Facts and Market Microstructure: An In-Depth Exploration of German Bond Futures Market
Hamza Bodor, Laurent Carlier
This paper presents an in-depth analysis of stylized facts in the context of futures on German bonds. The study examines four futures contracts on German bonds: Schatz, Bobl, Bund…