Limits of Limit-Order Books

DOI10.1007/978-3-031-12244-6_11MaRDI QIDQ6061113zbMATH OpenOpenAlexFDO

Authors John P. Lehoczky, Steven Shreve, Xiaofeng Yu

Publication date 3 December 2023

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-031-12244-6_11

Mathematics Subject Classification ID

Financial markets (91G15)

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Cites work

• A functional limit theorem for limit order books with state dependent price dynamics
• A Law of Large Numbers for Limit Order Books
• A Limit Theorem for Financial Markets with Inert Investors
• A Markov model of a limit order book: thresholds, recurrence, and trading strategies
• A mathematical approach to order book modeling
• A Microeconomic Approach to Diffusion Models For Stock Prices
• A multiscale model of high-frequency trading
• A one-level limit order book model with memory and variable spread
• A scaling limit for limit order books driven by Hawkes processes
• A steady-state model of the continuous double auction
• A stochastic model for order book dynamics
• A weak law of large numbers for a limit order book model with fully state dependent order dynamics
• Auctions as algorithms. Computerized trade execution and price discovery
• Empirical properties of asset returns: stylized facts and statistical issues
• Forecasting prices from level-I quotes in the presence of hidden liquidity
• Functional Limit Theorems for a Simple Auction
• HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
• Limit order books
• Limiting distribution for a simple model of order book dynamics
• Market Behavior in a Clearing House
• Price dynamics in a Markovian limit order market
• Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
• Second order approximations for limit order books
• Simulating and analyzing order book data: the queue-reactive model
• Statistical theory of the continuous double auction
• Stock price fluctuation as a diffusion in a random environment

Cited in

(6)

• Combination trading with limit orders
• Derivatives pricing with market impact and limit order book
• Market versus limit orders
• Liquidation in limit order books with controlled intensity
• A Law of Large Numbers for Limit Order Books
• Studies of the limit order book around large price changes

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