3 citations · 8 across the 17 of their papers we have counts for
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q-fin.TR2016★ 1 cited
General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics
Anatoliy Swishchuk, Katharina Cera, Julia Schmidt +1
The paper considers a general semi-Markov model for Limit Order Books with two states, which incorporates price changes that are not fixed to one tick. Furthermore, we introduce an…
q-fin.MF2016
A Semi-Markovian Modeling of Limit Order Markets
Anatoliy Swishchuk, Nelson Vadori
R. Cont and A. de Larrard (SIAM J. Finan. Math, 2013) introduced a tractable stochastic model for the dynamics of a limit order book, computing various quantities of interest such…