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

Victor Yu. Korolev, A. V. Chertok, A. Yu. Korchagin, Alexander I. Zeifman. Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes. Applied Mathematics and Computation, 253:224-241, 2015. [doi]

Authors

Victor Yu. Korolev

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A. V. Chertok

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A. Yu. Korchagin

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Alexander I. Zeifman

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