Sequential Monte Carlo-ABC Methods for Estimation of Stochastic Simulation Models of the Limit Order Book

Gareth Peters, Efstathios Panayi, François Septier

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

Original languageEnglish
Title of host publicationHandbook of Approximate Bayesian Computation
EditorsScott A Sisson, Yanan Fan, Mark Beaumont
PublisherChapman & Hall
ISBN (Print)978-1439881507
Publication statusPublished - 7 Dec 2018

Publication series

NameHandbooks of Modern Statistical Methods
PublisherChapman & Hall/CRC

Cite this

Peters, G., Panayi, E., & Septier, F. (2018). Sequential Monte Carlo-ABC Methods for Estimation of Stochastic Simulation Models of the Limit Order Book. In S. A. Sisson, Y. Fan, & M. Beaumont (Eds.), Handbook of Approximate Bayesian Computation (Handbooks of Modern Statistical Methods). Chapman & Hall.