Limiting distribution for a simple model of order book dynamics
DOI10.2478/S11533-012-0098-3zbMATH Open1282.91133OpenAlexW2094219497MaRDI QIDQ1935649FDOQ1935649
Authors: Łukasz Kruk 
Publication date: 18 February 2013
Published in: Central European Journal of Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2478/s11533-012-0098-3
Recommendations
Laplace transformutilityweak convergencebid-ask spreadmeasure-valued processwaiting costsorder book dynamics
Auctions, bargaining, bidding and selling, and other market models (91B26) Functional limit theorems; invariance principles (60F17) Random measures (60G57) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70)
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Cited In (18)
- HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
- Limits of Limit-Order Books
- Coupling limit order books and branching random walks
- A weak law of large numbers for a limit order book model with fully state dependent order dynamics
- Equivalence of particle survival model and record value process, and its new application to limit order books
- A functional limit theorem for limit order books with state dependent price dynamics
- Title not available (Why is that?)
- A level-1 limit order book with time dependent arrival rates
- Exact Hurst exponent and crossover behavior in a limit order market model
- A one-level limit order book model with memory and variable spread
- A stochastic model for order book dynamics
- A generalized birth-death stochastic model for high-frequency order book dynamics
- Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
- Rigorous results for the Stigler-Luckock model for the evolution of an order book
- Modelling the shape of the limit order book
- A Markov model of a limit order book: thresholds, recurrence, and trading strategies
- A Law of Large Numbers for Limit Order Books
- Bid-ask spread dynamics: large upward jump with geometric catastrophes
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