Estimating the efficient price from the order flow: a Brownian Cox process approach

DOI10.1016/j.spa.2013.04.012zbMath1285.62122arXiv1301.3114OpenAlexW2011367406WikidataQ105583755 ScholiaQ105583755MaRDI QIDQ2447646

Mathieu Rosenbaum, Christian Y. Robert, Sylvain Delattre

Publication date: 28 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.3114

zbMATH Keywords

functional limit theoremsresponse functionnonparametric estimationmarket microstructureCox processesfractional part of Brownian motion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17)

Related Items (5)

Optimal make–take fees for market making regulation ⋮ Adaptive estimation of intensity in a doubly stochastic Poisson process ⋮ Optimal Market Making under Partial Information with General Intensities ⋮ Large deviations for cascades of diffusions arising in oscillating systems of interacting Hawkes processes ⋮ Apparent impact: the hidden cost of one-shot trades

Cites Work

• Stochastic-Process Limits
• Price Dynamics in a Markovian Limit Order Market
• Applied Probability and Queues
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