A mathematical framework for modeling order book dynamics

DOI10.1137/22M1541538MaRDI QIDQ7010914zbMATH OpenFDO

Authors Rama Cont, Pierre Degond, Lifan Xuan

Publication date 19 March 2025

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/22M1541538

zbMATH Keywords

infinitesimal generatorlimit order bookmarked point processmarket microstructureMarkov processesmeasure-valued processquantitative financestochastic model

Mathematics Subject Classification ID

Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance (91-10) Financial markets (91G15)

Cites work

• A Law of Large Numbers for Limit Order Books
• A mathematical approach to order book modeling
• A steady-state model of the continuous double auction
• A stochastic model for order book dynamics
• A stochastic partial differential equation model for limit order book dynamics
• A weak law of large numbers for a limit order book model with fully state dependent order dynamics
• HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
• Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models
• Price dynamics in a Markovian limit order market
• Simulating and analyzing order book data: the queue-reactive model
• State-dependent Hawkes processes and their application to limit order book modelling
• Statistical properties of stock order books: empirical results and models

Cited in

(1)

• A survey of rough volatility

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