Price dynamics in a Markovian limit order market R Cont, A De Larrard SIAM Journal on Financial Mathematics 4 (1), 1-25, 2013 | 359 | 2013 |
Order book dynamics in liquid markets: limit theorems and diffusion approximations R Cont, A De Larrard arXiv preprint arXiv:1202.6412, 2012 | 103 | 2012 |
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 | 57 | 2017 |
Linking volatility with order flow: heavy traffic approximations and diffusion limits of order book dynamics R Cont, A de Larrard Unpublished manuscript, 2010 | 10 | 2010 |
The economic default time and the arcsine law X Guo, RA Jarrow, A de Larrard Journal of Financial Engineering 1 (03), 1450025, 2014 | 9 | 2014 |
A Markovian modelling of limit order books R Cont, A de Larrard SIAM J. Finan. Math 4 (1), 1-25, 2013 | 6 | 2013 |
Price dynamics in limit order markets: linking volatility with order flow R Cont, A de Larrard Working paper, 2012 | 5 | 2012 |
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 | 2 | 2012 |
Price dynamics in Limit Order Markets R Cont Preprint, 2012 | 1 | 2012 |
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 |