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20142023
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math.PR2014★ 1 cited

Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes

V. Yu. Korolev, A. V. Chertok, A. Yu. Korchagin +1

A micro-scale model is proposed for the evolution of the limit order book. Within this model, the flows of orders (claims) are described by doubly stochastic Poisson processes taki…