A one-level limit order book model with memory and variable spread

DOI10.1016/j.spa.2016.11.005zbMath1370.60129arXiv1407.5684OpenAlexW2558747942MaRDI QIDQ2360238

Jonathan A. Chávez-Casillas, José E. Figueroa-López

Publication date: 30 June 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.5684

zbMATH Keywords

diffusion approximationheavy trafficlimit order book modelprice process formation

Mathematics Subject Classification ID

Diffusion processes (60J60) Financial applications of other theories (91G80) Continuous-time Markov processes on discrete state spaces (60J27) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items

Limits of Limit-Order Books, A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics, Universal features of price formation in financial markets: perspectives from deep learning

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