Rigorous results for the Stigler-Luckock model for the evolution of an order book

DOI10.1214/17-AAP1336zbMath1397.91563arXiv1605.01551MaRDI QIDQ1661559

Jan M. Swart

Publication date: 16 August 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.01551

zbMATH Keywords

self-organized criticalitymarket microstructurecontinuous double auctionorder bookrank-based Markov chainStigler-Luckock model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (2)

How much market making does a market need? ⋮ Scaling limit of a limit order book model via the regenerative characterization of Lévy trees

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