A correction note for price dynamics in a Markovian limit order market

DOI10.1137/16M1057437zbMATH Open1336.91044OpenAlexW2316583014MaRDI QIDQ2808182FDOQ2808182

Authors Geliang Zhang, Hugh Christensen, Guolong Li, Simon J. Godsill

Publication date 20 May 2016

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/16m1057437

zbMATH Keywords

random walklimit order bookhitting probabilityprice dynamics

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Continuous-time Markov processes on discrete state spaces (60J27) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

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Cites work

• scientific article; zbMATH DE number 1416627 (Why is no real title available?)
• A stochastic model for order book dynamics
• Forecasting prices from level-I quotes in the presence of hidden liquidity
• 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 \((\mathbb Z_+)^2\) with non-zero drift absorbed at the axes
• Random walks reaching against all odds the other side of the quarter plane

Cited in

(2)

• Exact Hurst exponent and crossover behavior in a limit order market model
• Price dynamics in a Markovian limit order market

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