Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
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Publication:1704954
DOI10.1287/stsy.2017.0005zbMath1390.60121arXiv1312.2340OpenAlexW2962819736MaRDI QIDQ1704954
Florian Simatos, Josh Reed, Peter Lakner
Publication date: 14 March 2018
Published in: Stochastic Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1312.2340
Continuous-time Markov processes on general state spaces (60J25) Functional limit theorems; invariance principles (60F17)
Related Items (9)
Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets ⋮ Rigorous results for the Stigler-Luckock model for the evolution of an order book ⋮ Limits of Limit-Order Books ⋮ HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS ⋮ A diffusion approximation for limit order book models ⋮ Second order approximations for limit order books ⋮ Penalty method for obliquely reflected diffusions ⋮ 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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