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q-fin.TR2024
An Algebraic Framework for the Modeling of Limit Order Books
Johannes Bleher, Michael Bleher
Introducing an algebraic framework for modeling limit order books (LOBs) with tools from physics and stochastic processes, our proposed framework captures the creation and annihila…
q-fin.TR2020
From orders to prices: A stochastic description of the limit order book to forecast intraday returns
Johannes Bleher, Michael Bleher, Thomas Dimpfl
We propose a microscopic model to describe the dynamics of the fundamental events in the limit order book (LOB): order arrivals and cancellations. It is based on an operator algebr…