275 citations · 278 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…
q-fin.TR2011★ 275 cited
Price dynamics in a Markovian limit order market
Rama Cont, Adrien De Larrard
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in term…
q-fin.RM2011
The economic default time and the Arcsine law
Xin Guo, Robert A Jarrow, Adrien de Larrard
This paper develops a structural credit risk model to characterize the difference between the economic and recorded default times for a firm. Recorded default occurs when default i…