Journal of Mathematical Finance

Vol.3 No.2(2013), Paper ID 31793, 14 pages

DOI:10.4236/jmf.2013.32024

 

Price Jump Prediction in a Limit Order Book

 

Ban Zheng, Eric Moulines, Frédéric Abergel

 

Natixis, Equity Markets, Paris, France; Departement TSI, Télécom ParisTech, Paris, France; BNP Paribas Chair of Quantitative Finance, Ecole Centrale Paris, MAS Laboratory, Chatenay-Malabry, France
Departement TSI, Télécom ParisTech, Paris, France
BNP Paribas Chair of Quantitative Finance, Ecole Centrale Paris, MAS Laboratory, Chatenay-Malabry, France

 

Copyright © 2013 Ban Zheng, Eric Moulines, Frédéric Abergel et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article


B. Zheng, E. Moulines and F. Abergel, "Price Jump Prediction in a Limit Order Book," Journal of Mathematical Finance, Vol. 3 No. 2, 2013, pp. 242-255. doi: 10.4236/jmf.2013.32024.

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