3 citations · 6 across the 3 of their papers we have counts for
Showing 2015Show all
2 papers · 1 filter
q-fin.TR2015★ 1 cited
How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program
Weibing Huang, Charles-Albert Lehalle, Mathieu Rosenbaum
The tick value is a crucial component of market design and is often considered the most suitable tool to mitigate the effects of high frequency trading. The goal of this paper is t…
q-fin.TR2015★ 2 cited
Ergodicity and diffusivity of Markovian order book models: a general framework
Weibing Huang, Mathieu Rosenbaum
We present a general Markovian framework for order book modeling. Through our approach, we aim at providing a tool enabling to get a better understanding of the price formation pro…