A level-1 limit order book with time dependent arrival rates

DOI10.1007/s11009-019-09715-7zbMath1428.60059arXiv1704.06572OpenAlexW3125009382WikidataQ127759308 ScholiaQ127759308MaRDI QIDQ2283666

Bruno Rémillard, Jonathan A. Chávez-Casillas, Robert J. Elliott, Anatoliy Swishchuk

Publication date: 13 January 2020

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.06572

zbMATH Keywords

Brownian motioninhomogeneous Poisson processlimit order bookBrownian meander

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Financial applications of other theories (91G80) Stable stochastic processes (60G52)

Related Items (1)

Modelling of limit order books by general compound Hawkes processes with implementations

Uses Software

• DLMF

Cites Work

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• Invariance principles for random walks conditioned to stay positive
• Weak convergence to Brownian meander and Brownian excursion
• Price Dynamics in a Markovian Limit Order Market
• GENERAL SEMI-MARKOV MODEL FOR LIMIT ORDER BOOKS
• Statistical theory of the continuous double auction
• Random Walks Reaching Against all Odds the other Side of the Quarter Plane
• A Semi-Markovian Modeling of Limit Order Markets

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