A correction note for price dynamics in a Markovian limit order market
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Continuous-time Markov processes on discrete state spaces (60J27) Applications of continuous-time Markov processes on discrete state spaces (60J28) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)
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Cites work
- A stochastic model for order book dynamics
- Forecasting prices from level-I quotes in the presence of hidden liquidity
- scientific article; zbMATH DE number 1416627 (Why is no real title available?)
- Limit order books
- Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
- Note on the inversion theorem
- Optimal high-frequency trading with limit and market orders
- Optimal portfolio liquidation with limit orders
- Price dynamics in a Markovian limit order market
- Random walks in ( Z_+)^2 with non-zero drift absorbed at the axes
- Random walks reaching against all odds the other side of the quarter plane
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