7 citations · 10 across the 3 of their papers we have counts for
3 papers
q-fin.TR2012★ 3 cited
Order book dynamics in liquid markets: limit theorems and diffusion approximations
Rama Cont, Adrien De Larrard
We propose a model for the dynamics of a limit order book in a liquid market where buy and sell orders are submitted at high frequency. We derive a functional central limit theorem…
math.PR2012★ 7 cited
Short-time asymptotics for marginal distributions of semimartingales
Amel Bentata, Rama Cont
We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymp…
math.PR2010
Change of variable formulas for non-anticipative functionals on path space
Rama Cont, David-Antoine Fournie
We derive a functional change of variable formula for {\it non-anticipative} functionals defined on the space of right continuous paths with left limits. The functional is only req…