A functional limit theorem for limit order books with state dependent price dynamics

DOI10.1214/16-AAP1265zbMath1379.60036arXiv1405.5230OpenAlexW2963255281MaRDI QIDQ1688017

Jinniao Qiu, Christian Bayer, Ulrich Horst

Publication date: 4 January 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.5230

zbMATH Keywords

functional limit theoremstochastic partial differential equationlimit order book

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Queues and service in operations research (90B22) Functional limit theorems; invariance principles (60F17) Probability theory on linear topological spaces (60B11)

Related Items (17)

A stochastic Stefan-type problem under first-order boundary conditions ⋮ Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model ⋮ ON BOUNCING GEOMETRIC BROWNIAN MOTIONS ⋮ Long-Time Behavior of a Hawkes Process--Based Limit Order Book ⋮ Optimal Liquidity-Based Trading Tactics ⋮ Limits of Limit-Order Books ⋮ Solving linear parabolic rough partial differential equations ⋮ Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework ⋮ Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models ⋮ HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS ⋮ From tick data to semimartingales ⋮ A Stefan-type stochastic moving boundary problem ⋮ A diffusion approximation for limit order book models ⋮ Second order approximations for limit order books ⋮ Optimal inventory management and order book modeling ⋮ A Scaling Limit for Limit Order Books Driven by Hawkes Processes ⋮ A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics

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