A Correction Note for Price Dynamics in a Markovian Limit Order Market
DOI10.1137/16M1057437zbMath1336.91044OpenAlexW2316583014MaRDI QIDQ2808182
Geliang Zhang, Guolong Li, Hugh L. Christensen, Simon J. Godsill
Publication date: 20 May 2016
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/16m1057437
Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22) Microeconomic theory (price theory and economic markets) (91B24) Continuous-time Markov processes on discrete state spaces (60J27) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial science and mathematical finance (91G99) Applications of continuous-time Markov processes on discrete state spaces (60J28)
Cites Work
- Unnamed Item
- Unnamed Item
- Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
- Limit order books
- Price Dynamics in a Markovian Limit Order Market
- Random walks in $(\mathbb{Z}_{+})^{2}$ with non-zero drift absorbed at the axes
- A Stochastic Model for Order Book Dynamics
- Optimal Portfolio Liquidation with Limit Orders
- Random Walks Reaching Against all Odds the other Side of the Quarter Plane
- Optimal high-frequency trading with limit and market orders
- Note on the inversion theorem
This page was built for publication: A Correction Note for Price Dynamics in a Markovian Limit Order Market
