A dynamic model of the limit order book

DOI10.3934/dcdsb.2019206zbMath1432.91108OpenAlexW2971464564WikidataQ127241796 ScholiaQ127241796MaRDI QIDQ2284921

Marco Mazzola, Hongxu Wei, Alberto Bressan

Publication date: 15 January 2020

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2019206

zbMATH Keywords

Nash equilibriumasset pricing modelslimit order bookoptimal pricing strategyiterated bidding game

Mathematics Subject Classification ID

Applications of game theory (91A80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Multistage and repeated games (91A20) Financial markets (91G15)

Cites Work

• Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis
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• Dynamic stability of the Nash equilibrium for a bidding game
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• Limit order books
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• A Bidding Game in a Continuum Limit Order Book
• Discrete Bidding Strategies for a Random Incoming Order
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• Liquidity effects of trading frequency
• Endogenous Formation of Limit Order Books: Dynamics Between Trades
• A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies
• Information in Securities Markets: Kyle Meets Glosten and Milgrom

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