Functional Limit Theorems for a Simple Auction

DOI10.1287/MOOR.28.4.716.20519MaRDI QIDQ5704148zbMATH OpenOpenAlexFDO

Authors Łukasz Kruk

Publication date 11 November 2005

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.28.4.716.20519

zbMATH Keywords

Auctionfluid limitinvariance principleweak convergence

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cited in

(10)

• A simple result for the revenue in share auctions.
• Limiting distribution for a simple model of order book dynamics
• A one-level limit order book model with memory and variable spread
• QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS
• Inventory accumulation with multiple products
• HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
• Optimal auction duration: a price formation viewpoint
• ON BOUNCING GEOMETRIC BROWNIAN MOTIONS
• Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models
• Limits of Limit-Order Books

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