Lyapunov function for a Hawkes process-based limit order book

Frédéric Abergel
Additional contact information
Frédéric Abergel: MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris, FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec

Working Papers from HAL

Abstract: Document rendu obsolète par la mise en ligne de la dernière version de "Long time behaviour of a Hawkes process-based limit order book"

Date: 2015-02-05
New Economics Papers: this item is included in nep-ger
Note: View the original document on HAL open archive server: https://hal.science/hal-01113533
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://hal.science/hal-01113533/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-01113533

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().