Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model (Q5886357): Difference between revisions

Latest revision as of 19:58, 31 July 2024

scientific article; zbMATH DE number 7671147

Language	Label	Description	Also known as
English	Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model	scientific article; zbMATH DE number 7671147

Statements

instance of

scholarly article

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title

Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model (English)

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SIAM Journal on Financial Mathematics

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publication date

31 March 2023

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full work available at URL

https://arxiv.org/abs/2010.13497

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zbMATH Keywords

limit order book

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market microstructure

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high-frequency limit

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semimartingale convergence

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jump diffusion

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MaRDI profile type

MaRDI publication profile

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cites work

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

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Q4269108

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On a Boltzmann-type price formation model

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On a price formation free boundary model by Lasry and Lions

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Optimal order display in limit order markets with liquidity competition

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Global Existence and Uniqueness of Solutions to a Model of Price Formation

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Price Dynamics in a Markovian Limit Order Market

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A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics

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A Stochastic Model for Order Book Dynamics

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What really causes large price changes?

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HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS

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The market impact of a limit order

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A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics

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Second order approximations for limit order books

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A diffusion approximation for limit order book models

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A Law of Large Numbers for Limit Order Books

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Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework

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Calcul stochastique et problèmes de martingales

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Q4778955

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A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies

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Q4895011

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Mean field games

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A steady-state model of the continuous double auction

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Parabolic Free Boundary Price Formation Models Under Market Size Fluctuations

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Q3744958

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Q4435813

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Some Useful Functions for Functional Limit Theorems

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Stochastic-Process Limits

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Identifiers

DOI

10.1137/20M1380922

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5886357

@@ Property / cites work @@
+A functional limit theorem for limit order books with state dependent price dynamics
+Normal rank
@@ Property / cites work @@
+Q4269108
@@ Property / cites work: Q4269108 / rank @@
+Normal rank
@@ Property / cites work @@
+On a Boltzmann-type price formation model
@@ Property / cites work: On a Boltzmann-type price formation model / rank @@
+Normal rank
@@ Property / cites work @@
+On a price formation free boundary model by Lasry and Lions
+Normal rank
@@ Property / cites work @@
+Optimal order display in limit order markets with liquidity competition
+Normal rank
@@ Property / cites work @@
+Global Existence and Uniqueness of Solutions to a Model of Price Formation
+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 Partial Differential Equation Model for Limit Order Book Dynamics
+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
@@ Property / cites work @@
+What really causes large price changes?
@@ Property / cites work: What really causes large price changes? / rank @@
+Normal rank
@@ Property / cites work @@
+HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
@@ Property / cites work: HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS / rank @@
+Normal rank
@@ Property / cites work @@
+The market impact of a limit order
@@ Property / cites work: The market impact of a limit order / rank @@
+Normal rank
@@ Property / cites work @@
+A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics
+Normal rank
@@ Property / cites work @@
+Second order approximations for limit order books
@@ Property / cites work: Second order approximations for limit order books / rank @@
+Normal rank
@@ Property / cites work @@
+A diffusion approximation for limit order book models
+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 @@
+Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework
+Normal rank
@@ Property / cites work @@
+Calcul stochastique et problèmes de martingales
@@ Property / cites work: Calcul stochastique et problèmes de martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies
+Normal rank
@@ Property / cites work @@
+Q4895011
@@ Property / cites work: Q4895011 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean field games
@@ Property / cites work: Mean field games / rank @@
+Normal rank
@@ Property / cites work @@
+A steady-state model of the continuous double auction
+Normal rank
@@ Property / cites work @@
+Parabolic Free Boundary Price Formation Models  Under Market Size Fluctuations
+Normal rank
@@ Property / cites work @@
+Q3744958
@@ Property / cites work: Q3744958 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Some Useful Functions for Functional Limit Theorems
+Normal rank
@@ Property / cites work @@
+Stochastic-Process Limits
@@ Property / cites work: Stochastic-Process Limits / rank @@
+Normal rank