Adrien de Larrard

Université Paris VII Denis Diderot

Ph.D. Student

2, place Jussieu

Paris, 75005

France

SCHOLARLY PAPERS

3

DOWNLOADS
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4,640

SSRN CITATIONS
Rank 18,906

SSRN RANKINGS

Top 18,906

in Total Papers Citations

10

CROSSREF CITATIONS

33

Scholarly Papers (3)

1.

Price Dynamics in a Markovian Limit Order Market

Number of pages: 23 Posted: 07 Jan 2011 Last Revised: 28 Mar 2012
Rama Cont and Adrien de Larrard
University of Oxford and Université Paris VII Denis Diderot
Downloads 2,251 (6,092)
Citation 29

Abstract:

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limit order book, market microstructure, queueing, diffusion limit, high-frequency data, liquidity, duration analysis, point process

2.

Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations

Number of pages: 40 Posted: 20 Feb 2012 Last Revised: 05 Oct 2012
Rama Cont and Adrien de Larrard
University of Oxford and Université Paris VII Denis Diderot
Downloads 2,179 (6,440)
Citation 20

Abstract:

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limit order book, limit order market, queueing systems, heavy traffic limit, functional central limit theorem, diffusion limit, high-frequency data, market microstructure, point process, limit order market

3.

Optimal Placement in a Limit Order Book

Number of pages: 26 Posted: 01 Sep 2013 Last Revised: 27 Jul 2016
Xin Guo, Adrien de Larrard and Zhao Ruan
University of California, Berkeley, Université Paris VII Denis Diderot and University of California, Berkeley
Downloads 210 (148,522)
Citation 7

Abstract:

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Optimal Placement, Optimal Execution, Limit Order Book, Correlated Random Walk, Price Impact