Stationary distribution of the volume at the best quote in a Poisson order book model (Q5367502)
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scientific article; zbMATH DE number 6790992
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| English | Stationary distribution of the volume at the best quote in a Poisson order book model |
scientific article; zbMATH DE number 6790992 |
Statements
STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL (English)
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13 October 2017
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limit order book
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volume of the best quote
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aggressive limit orders
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aggressive market orders
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Killing and resurrecting Markov processes
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0.7807906270027161
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0.7805075645446777
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0.7765681743621826
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0.7735732793807983
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0.7726945877075195
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