"Self-exciting price impact via negative resilience in stochastic order books."

Julia Ackermann, Thomas Kruse, Mikhail Urusov (2024)

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DOI: 10.1007/S10479-022-04973-0

access: open

type: Journal Article

metadata version: 2024-06-08

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Julia Ackermann, Thomas Kruse, Mikhail Urusov:
Self-exciting price impact via negative resilience in stochastic order books. Ann. Oper. Res. 336(1-2): 637-659 (2024)

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