Limiting distribution for a simple model of order book dynamics

DOI10.2478/S11533-012-0098-3MaRDI QIDQ1935649zbMATH OpenOpenAlexFDO

Authors Łukasz Kruk

Publication date 18 February 2013

Published in Central European Journal of Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported

Full work available at URL https://doi.org/10.2478/s11533-012-0098-3

zbMATH Keywords

Laplace transformutilityweak convergencebid-ask spreadmeasure-valued processwaiting costsorder book dynamics

Mathematics Subject Classification ID

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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Cites work

• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• A steady-state model of the continuous double auction
• A stochastic model for order book dynamics
• Applied Probability and Queues
• Functional Limit Theorems for a Simple Auction
• Market Behavior in a Clearing House
• Multiple channel queues in heavy traffic. I
• Real-time queues in heavy traffic with earliest-deadline-first queue discipline

Cited in

(18)

• Exact Hurst exponent and crossover behavior in a limit order market model
• A stochastic model for order book dynamics
• scientific article; zbMATH DE number 2187919 (Why is no real title available?)
• Coupling limit order books and branching random walks
• A level-1 limit order book with time dependent arrival rates
• A Markov model of a limit order book: thresholds, recurrence, and trading strategies
• Rigorous results for the Stigler-Luckock model for the evolution of an order book
• Modelling the shape of the limit order book
• A generalized birth-death stochastic model for high-frequency order book dynamics
• Bid-ask spread dynamics: large upward jump with geometric catastrophes
• A one-level limit order book model with memory and variable spread
• A weak law of large numbers for a limit order book model with fully state dependent order dynamics
• Limits of Limit-Order Books
• Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
• A functional limit theorem for limit order books with state dependent price dynamics
• HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
• A Law of Large Numbers for Limit Order Books
• Equivalence of particle survival model and record value process, and its new application to limit order books

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