A multi-asset order book model with a latent efficient price is shown to produce diffusive observed prices at the macroscopic scale, and a numerical maximum likelihood estimator is developed.
Optimal Novikov-type criteria for local martingales with jumps
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Multi-dimensional queue-reactive model and signal-driven models: a unified framework
A multi-asset order book model with a latent efficient price is shown to produce diffusive observed prices at the macroscopic scale, and a numerical maximum likelihood estimator is developed.