Limiting distribution for a simple model of order book dynamics

DOI10.2478/s11533-012-0098-3zbMath1282.91133OpenAlexW2094219497MaRDI QIDQ1935649

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

zbMATH Keywords

utilityLaplace transformweak convergencebid-ask spreadmeasure-valued processwaiting costsorder book dynamics

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Random measures (60G57) Auctions, bargaining, bidding and selling, and other market models (91B26) Functional limit theorems; invariance principles (60F17)

Related Items (3)

Rigorous results for the Stigler-Luckock model for the evolution of an order book ⋮ Limits of Limit-Order Books ⋮ HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS

Cites Work

• Unnamed Item
• Unnamed Item
• Real-time queues in heavy traffic with earliest-deadline-first queue discipline
• A Stochastic Model for Order Book Dynamics
• Market Behavior in a Clearing House
• A steady-state model of the continuous double auction
• Applied Probability and Queues
• Multiple channel queues in heavy traffic. I
• Functional Limit Theorems for a Simple Auction

This page was built for publication: Limiting distribution for a simple model of order book dynamics