A one-level limit order book model with memory and variable spread

DOI10.1016/j.spa.2016.11.005zbMath1370.60129arXiv1407.5684MaRDI QIDQ2360238

Jonathan A. Chávez-Casillas, José E. Figueroa-López

Publication date: 30 June 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.5684

zbMATH Keywords

diffusion approximation; heavy traffic; limit order book model; price process formation

Mathematics Subject Classification ID

60J60: Diffusion processes

91G80: Financial applications of other theories

60J27: Continuous-time Markov processes on discrete state spaces

60J28: Applications of continuous-time Markov processes on discrete state spaces

Related Items

A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics, Universal features of price formation in financial markets: perspectives from deep learning, Limits of Limit-Order Books

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