@article{munitoke:hal-01705080, TITLE = {{Modelling intensities of order flows in a limit order book}}, AUTHOR = {Muni Toke, Ioane and Yoshida, Nakahiro}, URL = {https://centralesupelec.hal.science/hal-01705080}, JOURNAL = {{Quantitative Finance}}, PUBLISHER = {{Taylor \& Francis (Routledge)}}, VOLUME = {17}, NUMBER = {5}, PAGES = {683 - 701}, YEAR = {2017}, MONTH = Mar, DOI = {10.1080/14697688.2016.1236210}, KEYWORDS = {order book ; limit orders ; market orders ; cancellations ; state-dependent point processes ; intensity-based models}, PDF = {https://centralesupelec.hal.science/hal-01705080/file/ModellingIntensities.pdf}, HAL_ID = {hal-01705080}, HAL_VERSION = {v1}, }