Bid-ask spread dynamics: large upward jump with geometric catastrophes
DOI10.1051/RO/2024039zbMATH Open1537.91296MaRDI QIDQ6550890FDOQ6550890
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)
Recommendations
- Limiting distribution for a simple model of order book dynamics
- Bid-Ask Spread Modelling, a Perturbation Approach
- A stochastic model for order book dynamics
- A semi-Markovian modeling of limit order markets
- Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model
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)
Cites Work
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Title not available (Why is that?)
- Markov Chains
- On the Markov chain central limit theorem
- Price dynamics in a Markovian limit order market
- Modelling bid and ask prices using constrained Hawkes processes: ergodicity and scaling limit
- A stochastic model for order book dynamics
- High-frequency trading in a limit order book
- Simulating and analyzing order book data: the queue-reactive model
- Topics in the Constructive Theory of Countable Markov Chains
- Title not available (Why is that?)
- What really causes large price changes?
- Optimal order placement in limit order markets
- Statistical theory of the continuous double auction
- Large deviations in a population dynamics with catastrophes
- A remark on normalizations in a local large deviations principle for inhomogeneous birth-and-death process
- The extended large deviation principle for a process with independent increments
- Forecasting prices from level-I quotes in the presence of hidden liquidity
- Endogenous liquidity crises
This page was built for publication: Bid-ask spread dynamics: large upward jump with geometric catastrophes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6550890)
