A non-linear model of limit order book dynamics.

Nikita D. Vvedenskaya Yuri M. Suhov Vladimir Belitsky

Published in: ISIT (2011)

Keyphrases

cost function
high level
computational model
databases
database systems
probabilistic model
statistical model
formal model
data sets
machine learning
information retrieval
information technology
control system
probability distribution
input data
conceptual model