Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows

MaRDI QIDQ6524622arXivFDO

Authors Felix Lokin, Feng-Hui Yu

Published in arXiv

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Continuous-time Markov processes on discrete state spaces (60J27) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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