Quant Letter: June 2024, Week-2
Weekly (50th Edition)
ArXiv
Finance
Algebraic Limit Order Books: The paper introduces an algebraic framework, using physics and stochastic processes, for modeling limit order books to simulate market scenarios and understand the impact of trader behavior on market dynamics. (2024-06-07, shares: 3)
Convex Ordering in Control: The article discusses the use of an ARCH model to und…
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