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- W407473693 abstract "In this project the order book model proposed by Cont et al. [10] is used as a starting point to model order book dynamics. This model nicely combines three desirable properties from earlier studies: it is easy to calibrate, it reproduces statistical properties of the order book and it allows to make analytical computations in the order book. The model is studied, calibrated and tested on real-time data from the London Stock Exchange. Possible improvements to the model are discussed and tested. A method to compute probabilities in the model will be presented: recovering densities by inverting continued fraction representations of Laplace transforms. This is also implemented and evaluated." @default.
- W407473693 created "2016-06-24" @default.
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- W407473693 date "2011-01-12" @default.
- W407473693 modified "2023-09-26" @default.
- W407473693 title "Stochastic Modeling of Order Book Dynamics" @default.
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