A Law of Large Numbers for Limit Order Books

DOI10.1287/MOOR.2017.0848zbMath1377.60041arXiv1501.00843OpenAlexW2112415720MaRDI QIDQ4595967

Michael Paulsen, Ulrich Horst

Publication date: 7 December 2017

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.00843

zbMATH Keywords

scaling limitaveraging principlequeueing theorylimit order book

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic models in economics (91B70) Queues and service in operations research (90B22) Financial applications of other theories (91G80)

Related Items (14)

Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model ⋮ ON BOUNCING GEOMETRIC BROWNIAN MOTIONS ⋮ Long-Time Behavior of a Hawkes Process--Based Limit Order Book ⋮ Limits of Limit-Order Books ⋮ Scaling limit of a limit order book model via the regenerative characterization of Lévy trees ⋮ Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models ⋮ HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS ⋮ Optimal placement in a limit order book: an analytical approach ⋮ A diffusion approximation for limit order book models ⋮ Second order approximations for limit order books ⋮ A Scaling Limit for Limit Order Books Driven by Hawkes Processes ⋮ A switching microstructure model for stock prices ⋮ A Semi-Markovian Modeling of Limit Order Markets ⋮ A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics

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