Two price regimes in limit order books: liquidity cushion and fragmented distant field

DOI10.1088/1742-5468/AC4517MaRDI QIDQ5032076OpenAlexFDO

Authors Sebastian M. Krause, Edgar Jungblut, Thomas Guhr

Publication date 16 February 2022

Published in Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2106.11691

zbMATH Keywords

market microstructuremarket impactquantitative financemodels of financial markets

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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• The market impact of a limit order
• Price dynamics in a Markovian limit order market
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Cites work

• scientific article; zbMATH DE number 1091847 (Why is no real title available?)
• A stochastic model for order book dynamics
• Analyzing and modeling 1+1d markets
• Diffusive behavior and the modeling of characteristic times in limit order executions
• Empirical properties of asset returns: stylized facts and statistical issues
• Equilibrium pricing in an order book environment: case study for a spin model
• Limit order books
• More statistical properties of order books and price impact
• Simulating and analyzing order book data: the queue-reactive model
• Statistical properties of stock order books: empirical results and models
• Studies of the limit order book around large price changes

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