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Hydrodynamic Limit of Order Book Dynamics
41/41 checkable references clean · checked 2026-08-03
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
14 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.
The 41 checked references that resolve
resolves10.1080/14697680802595700
Optimal execution strategies in limit order books with general shape functions
resolves10.1111/j.1540-6261.1995.tb05192.x
An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse
resolves10.1088/1469-7688/2/4/301
Statistical properties of stock order books: empirical results and models
resolves10.2139/ssrn.1757861
Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations
resolves10.1111/mafi.12022
OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME‐VARYING LIQUIDITY
resolves10.1016/j.physa.2008.05.008
Empirical shape function of limit-order books in the Chinese stock market
resolves10.2139/ssrn.1914293
Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data
resolves10.2307/3211904
Limit theorems for sequences of jump Markov processes approximating ordinary differential processes
resolves10.1287/stsy.2017.0005.2018.1.test
Scaling Limit of a Limit Order Book Model via the Regenerative Characterization of Lévy Trees
resolves10.1007/978-88-470-1766-5_4
“Market Making” in an Order Book Model and Its Impact on the Spread
The 14 references without a DOI — listed, not checked
no DOI — not checkedAt this "initial" time, the best bid price is $13.99 and the best ask is $14.00. During this 20-minute window, the bid price changes are -1, +1, -1, +1 (in the unit of one cent/tick) at time instants
no DOI — not checkedThe quantities are computed from dividing outstanding limit order volume (shares) on each price level by unit order size (363 shares)
no DOI — not checkedbut we allow for the dependence of order flow intensities on the buy/sell side. For illustration, we present results for price levels 10 ticks above the best bid and 10 ticks below the best ask where most order activities concentrate. There are seven columns in each of the Tables 2-5. The References Abergel
no DOI — not checkedref4
no DOI — not checkedref5
no DOI — not checkedref11
no DOI — not checkedA simple proof of the multivariate random time change theorem for point processes
no DOI — not checkedAn exchange is a many-splendored thing: The classification and regulation of automated trading systems
no DOI — not checkedAnalysis tools with applications
no DOI — not checkedref33
no DOI — not checkedStochastic flows and signed measure valued stochastic partial differential equations
no DOI — not checkedref39
no DOI — not checkedref43
no DOI — not checkedref48
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