Stochastic Modelling of Big Data in Finance
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DOI: 10.1007/s11009-020-09826-6
Abstract: We present a new approach to study big data in finance (specifically, in limit order books), based on stochastic modelling of price changes associated with high-frequency and algorithmic trading. We introduce a big data in… read more here.
Keywords: big data; finance; modelling big; stochastic modelling ... See more keywords