Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models (Q5126683): Difference between revisions

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scientific article; zbMATH DE number 7262551

Language	Label	Description	Also known as
English	Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models	scientific article; zbMATH DE number 7262551

Statements

instance of

scholarly article

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title

Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models (English)

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Applied Mathematical Finance

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publication date

20 October 2020

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full work available at URL

https://arxiv.org/abs/1808.07107

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zbMATH Keywords

limit order books

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microscopic, mesoscopic and macroscopic frameworks

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high- to ultra high-frequency setting

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stochastic partial differential equations

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MaRDI profile type

MaRDI publication profile

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cites work

A MATHEMATICAL APPROACH TO ORDER BOOK MODELING

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A functional limit theorem for limit order books with state dependent price dynamics

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Q5446070

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Enhancing trading strategies with order book signals

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Price Dynamics in a Markovian Limit Order Market

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A Stochastic Model for Order Book Dynamics

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HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS

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White noise driven SPDEs with reflection

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Optimal Decisions in a Time Priority Queue

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Q3721531

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Limit order books

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A reflected moving boundary problem driven by space-time white noise

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A Law of Large Numbers for Limit Order Books

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Simulating and Analyzing Order Book Data: The Queue-Reactive Model

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A Stefan-type stochastic moving boundary problem

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A stochastic Stefan problem

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Functional Limit Theorems for a Simple Auction

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Continuous Auctions and Insider Trading

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Market Behavior in a Clearing House

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The order book as a queueing system: average depth and influence of the size of limit orders

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Stochastic differential equations with reflecting boundary condition in convex regions

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White noise driven SPDEs with reflection: existence, uniqueness and large deviation principles

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Lattice approximations of reflected stochastic partial differential equations driven by space-time white noise

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Identifiers

zbMATH Open document ID

1451.91186

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DOI

10.1080/1350486X.2020.1758176

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5126683

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+A MATHEMATICAL APPROACH TO ORDER BOOK MODELING
@@ Property / cites work: A MATHEMATICAL APPROACH TO ORDER BOOK MODELING / rank @@
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@@ Property / cites work @@
+A functional limit theorem for limit order books with state dependent price dynamics
+Normal rank
@@ Property / cites work @@
+Q5446070
@@ Property / cites work: Q5446070 / rank @@
+Normal rank
@@ Property / cites work @@
+Enhancing trading strategies with order book signals
+Normal rank
@@ Property / cites work @@
+Price Dynamics in a Markovian Limit Order Market
@@ Property / cites work: Price Dynamics in a Markovian Limit Order Market / rank @@
+Normal rank
@@ Property / cites work @@
+A Stochastic Model for Order Book Dynamics
@@ Property / cites work: A Stochastic Model for Order Book Dynamics / rank @@
+Normal rank
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+HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
@@ Property / cites work: HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS / rank @@
+Normal rank
@@ Property / cites work @@
+White noise driven SPDEs with reflection
@@ Property / cites work: White noise driven SPDEs with reflection / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Decisions in a Time Priority Queue
@@ Property / cites work: Optimal Decisions in a Time Priority Queue / rank @@
+Normal rank
@@ Property / cites work @@
+Q3721531
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+Normal rank
@@ Property / cites work @@
+Limit order books
@@ Property / cites work: Limit order books / rank @@
+Normal rank
@@ Property / cites work @@
+A reflected moving boundary problem driven by space-time white noise
+Normal rank
@@ Property / cites work @@
+A Law of Large Numbers for Limit Order Books
@@ Property / cites work: A Law of Large Numbers for Limit Order Books / rank @@
+Normal rank
@@ Property / cites work @@
+Simulating and Analyzing Order Book Data: The Queue-Reactive Model
+Normal rank
@@ Property / cites work @@
+A Stefan-type stochastic moving boundary problem
@@ Property / cites work: A Stefan-type stochastic moving boundary problem / rank @@
+Normal rank
@@ Property / cites work @@
+A stochastic Stefan problem
@@ Property / cites work: A stochastic Stefan problem / rank @@
+Normal rank
@@ Property / cites work @@
+Functional Limit Theorems for a Simple Auction
@@ Property / cites work: Functional Limit Theorems for a Simple Auction / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous Auctions and Insider Trading
@@ Property / cites work: Continuous Auctions and Insider Trading / rank @@
+Normal rank
@@ Property / cites work @@
+Market Behavior in a Clearing House
@@ Property / cites work: Market Behavior in a Clearing House / rank @@
+Normal rank
@@ Property / cites work @@
+The order book as a queueing system: average depth and influence of the size of limit orders
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations with reflecting boundary condition in convex regions
+Normal rank
@@ Property / cites work @@
+White noise driven SPDEs with reflection: existence, uniqueness and large deviation principles
+Normal rank
@@ Property / cites work @@
+Lattice approximations of reflected stochastic partial differential equations driven by space-time white noise
+Normal rank
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