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Adrien de Larrard
Adrien de Larrard
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Title
Cited by
Cited by
Year
Price dynamics in a Markovian limit order market
R Cont, A De Larrard
SIAM Journal on Financial Mathematics 4 (1), 1-25, 2013
3592013
Order book dynamics in liquid markets: limit theorems and diffusion approximations
R Cont, A De Larrard
arXiv preprint arXiv:1202.6412, 2012
1032012
Optimal placement in a limit order book: an analytical approach
X Guo, A De Larrard, Z Ruan
Mathematics and Financial Economics 11, 189-213, 2017
572017
Linking volatility with order flow: heavy traffic approximations and diffusion limits of order book dynamics
R Cont, A de Larrard
Unpublished manuscript, 2010
102010
The economic default time and the arcsine law
X Guo, RA Jarrow, A de Larrard
Journal of Financial Engineering 1 (03), 1450025, 2014
92014
A Markovian modelling of limit order books
R Cont, A de Larrard
SIAM J. Finan. Math 4 (1), 1-25, 2013
62013
Price dynamics in limit order markets: linking volatility with order flow
R Cont, A de Larrard
Working paper, 2012
52012
Order book dynamics in liquid markets: limit theorems and diffusion approximations (2012)
R Cont, A De Larrard
Available at SSRN 1757861, 0
4
Price dynamics in limit order markets: Queueing models and limit theorems
A De Larrard
HAL 2012, 2012
22012
Price dynamics in Limit Order Markets
R Cont
Preprint, 2012
12012
Dynamique de carnets d'ordres boursiers: modèles stochastiques et théorèmes limites
A De Larrard
Université Pierre et Marie Curie-Paris VI, 2012
2012
Discipline: Mathématiques
A de Larrard
Universität Mannheim, 2012
2012
Price dynamics in a Markovian limit order market
C Rama, A de LARRARD
2010
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Articles 1–13