GENERAL SEMI-MARKOV MODEL FOR LIMIT ORDER BOOKS
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Publication:2986667
DOI10.1142/S0219024917500194zbMath1396.91764arXiv1608.05060MaRDI QIDQ2986667
Anatoliy Swishchuk, Julia K. Schmidt, Katharina Cera, Tyler Hofmeister
Publication date: 16 May 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.05060
60K15: Markov renewal processes, semi-Markov processes
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
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- Limit order books
- Price Dynamics in a Markovian Limit Order Market
- A Stochastic Model for Order Book Dynamics
- Markov Chains
- Strong Law of Large Numbers and Central Limit Theorems for Functionals of Inhomogeneous Semi-Markov Processes
- A Semi-Markovian Modeling of Limit Order Markets