STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL
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Publication:5367502
DOI10.1142/S021902491750039XzbMath1396.91766arXiv1502.03871MaRDI QIDQ5367502
Publication date: 13 October 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1502.03871
limit order bookaggressive limit ordersaggressive market ordersKilling and resurrecting Markov processesvolume of the best quote
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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