Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework
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Publication:4607054
DOI10.1137/16M1064337zbMath1407.91126arXiv1505.04936OpenAlexW1599124379MaRDI QIDQ4607054
Mathieu Rosenbaum, Weibing Huang
Publication date: 12 March 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1505.04936
Financial applications of other theories (91G80) Auctions, bargaining, bidding and selling, and other market models (91B26) Applications of continuous-time Markov processes on discrete state spaces (60J28)
Related Items (12)
Statistical inference for ergodic point processes and application to limit order book ⋮ Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model ⋮ Modelling intensities of order flows in a limit order book ⋮ State-dependent Hawkes processes and their application to limit order book modelling ⋮ Optimal Liquidity-Based Trading Tactics ⋮ A generative model of a limit order book using recurrent neural networks ⋮ Order Book Queue Hawkes Markovian Modeling ⋮ From tick data to semimartingales ⋮ A diffusion approximation for limit order book models ⋮ Second order approximations for limit order books ⋮ Optimal inventory management and order book modeling ⋮ A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics
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- Statistical properties of stock order books: empirical results and models
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