A generalized birth–death stochastic model for high-frequency order book dynamics

DOI10.1080/14697688.2012.664926zbMath1278.91099OpenAlexW2004351993MaRDI QIDQ2873024

Alec Norton, He Huang

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.664926

zbMATH Keywords

first passage timeshigh-frequency databirth-death processeslimit order bookautomated trading

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Trade models (91B60) Financial applications of other theories (91G80) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Related Items

Modeling high-frequency non-homogeneous order flows by compound Cox processes, Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes, A note on functional limit theorems for compound Cox processes, Modelling high-frequency limit order book dynamics with support vector machines, HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS, When one stock share is a biological individual: a stylized simulation of the population dynamics in an order-driven market

Cites Work

• A Stochastic Model for Order Book Dynamics
• High-frequency trading in a limit order book
• Summing an Alternating Series
• Computing Laplace Transforms for Numerical Inversion Via Continued Fractions
• Numerical Inversion of Laplace Transforms of Probability Distributions