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A Semi-Markovian Modeling of Limit Order Markets - MaRDI portal

A Semi-Markovian Modeling of Limit Order Markets (Q5266360)

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scientific article; zbMATH DE number 6725624
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English
A Semi-Markovian Modeling of Limit Order Markets
scientific article; zbMATH DE number 6725624

    Statements

    title
    A Semi-Markovian Modeling of Limit Order Markets (English)
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    author
    Anatoliy Swishchuk
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    N. Vadori
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    publication date
    2 June 2017
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    zbMATH Keywords
    limit order book
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    Markov renewal process
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    semi-Markov process
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    diffusion limit
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    duration analysis
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    Weibull distribution
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    gamma distributions
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    Burr distribution
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    cites work
    Q4269108
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    Q5263525
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    Limit order books
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    Q4320114
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    Q5524051
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    Identifiers

    DOI
    10.1137/15M1015406
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    Mathematics Subject Classification ID
    60K15
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    60K20
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    60K25
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    60F17
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    60J60
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    91B24
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    91B70
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    90B22
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    93E20
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    zbMATH DE Number
    6725624
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    arXiv ID
    1601.01710
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    OpenAlex ID
    W3121616782
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