A Semi-Markovian Modeling of Limit Order Markets
DOI10.1137/15M1015406zbMath1370.60155arXiv1601.01710OpenAlexW3121616782MaRDI QIDQ5266360
Publication date: 2 June 2017
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1601.01710
Markov renewal processWeibull distributionsemi-Markov processBurr distributionduration analysislimit order bookdiffusion limitgamma distributions
Stochastic models in economics (91B70) Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Diffusion processes (60J60) Markov renewal processes, semi-Markov processes (60K15) Functional limit theorems; invariance principles (60F17) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)
Related Items (7)
Cites Work
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- Auctions as algorithms. Computerized trade execution and price discovery
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