Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes

DOI10.1016/J.AMC.2014.12.085zbMath1338.91077arXiv1410.1900OpenAlexW2092315528MaRDI QIDQ298830

V. Yu. Korolev, A. Yu. Korchagin, A. V. Chertok, Alexander I. Zejfman

Publication date: 21 June 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.1900

zbMATH Keywords

Cox processesdoubly stochastic Poisson processeslimit order bookorder flow imbalanceprice discoverytwo-sided risk process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (11)

Bounds for convergence rate in laws of large numbers for mixed Poisson random sums ⋮ On convergence of the distributions of random sequences with independent random indexes to variance–mean mixtures ⋮ A note on mixture representations for the Linnik and Mittag-Leffler distributions and their applications ⋮ A note on functional limit theorems for compound Cox processes ⋮ Approximation and comparison of the empirical liquidity cost function for various futures contracts ⋮ On normal variance-mean mixtures as limit laws for statistics with random sample sizes ⋮ Convergence of statistics constructed from samples with random sizes to the Linnik and Mittag-Leffler distributions and their generalizations ⋮ Generalized negative binomial distributions as mixed geometric laws and related limit theorems ⋮ A Correction Note for Price Dynamics in a Markovian Limit Order Market ⋮ Confidence interval for correlation estimator between latent processes ⋮ A Functional Approach to Estimation of the Parameters of Generalized Negative Binomial and Gamma Distributions

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