Bid-ask spread dynamics: large upward jump with geometric catastrophes

DOI10.1051/RO/2024039MaRDI QIDQ6550890zbMATH OpenFDO

Authors Jose Javier Cerda-Hernández, Artem Vasilhevich Logachov, A. Yambartsev

Publication date 5 June 2024

Published in RAIRO. Operations Research (Search for Journal in Brave)

zbMATH Keywords

Markov modelslimit order bookgeometric catastrophesliquidity fluctuations

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Large deviations (60F10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Financial markets (91G15)

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Cites work

• scientific article; zbMATH DE number 50713 (Why is no real title available?)
• scientific article; zbMATH DE number 3216393 (Why is no real title available?)
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• Endogenous liquidity crises
• Forecasting prices from level-I quotes in the presence of hidden liquidity
• High-frequency trading in a limit order book
• Large deviations in a population dynamics with catastrophes
• Markov Chains
• Modelling bid and ask prices using constrained Hawkes processes: ergodicity and scaling limit
• On the Markov chain central limit theorem
• Optimal order placement in limit order markets
• Price dynamics in a Markovian limit order market
• Simulating and analyzing order book data: the queue-reactive model
• Statistical theory of the continuous double auction
• The extended large deviation principle for a process with independent increments
• Topics in the Constructive Theory of Countable Markov Chains
• What really causes large price changes?

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