HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS

DOI10.1017/S0269964816000413zbMath1419.91581arXiv1411.7502OpenAlexW3121208517MaRDI QIDQ4628410

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Publication date: 13 March 2019

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.7502

zbMATH Keywords

stochastic modelingqueueing theorymathematical financeapplied probability

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Financial applications of other theories (91G80) Functional limit theorems; invariance principles (60F17) Portfolio theory (91G10) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (7)

Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model ⋮ Limits of Limit-Order Books ⋮ Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models ⋮ Second order approximations for limit order books ⋮ A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies ⋮ A Scaling Limit for Limit Order Books Driven by Hawkes Processes ⋮ Deep learning for limit order books

Cites Work

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