Price Dynamics in a Markovian Limit Order Market
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Publication:2873118
DOI10.1137/110856605zbMath1288.91092arXiv1104.4596OpenAlexW3101983215MaRDI QIDQ2873118
Publication date: 23 January 2014
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1104.4596
queueingpoint processhigh-frequency dataliquiditymarket microstructureduration analysislimit order bookdiffusion limit
Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22) Microeconomic theory (price theory and economic markets) (91B24) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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