High-frequency trading model for a complex trading hierarchy
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- Zhang, Xili & Xiao, Weilin, 2017. "Arbitrage with fractional Gaussian processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 620-628.
- Pyrlik, Vladimir, 2013. "Autoregressive conditional duration as a model for financial market crashes prediction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 6041-6051.
- Yu, Jianfeng & Xu, Weidong, 2016. "Pricing turbo warrants under mixed-exponential jump diffusion model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 490-501.
- Schinckus, C., 2013. "Between complexity of modelling and modelling of complexity: An essay on econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3654-3665.
- repec:eee:phsmap:v:490:y:2018:i:c:p:402-418 is not listed on IDEAS
- Kumar, A. & Wyłomańska, A. & Połoczański, R. & Sundar, S., 2017. "Fractional Brownian motion time-changed by gamma and inverse gamma process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 648-667.
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