Diffusive behavior and the modeling of characteristic times in limit order executions

DOI10.1080/14697680802512408zbMath1176.91045arXivphysics/0701335OpenAlexW3123800978MaRDI QIDQ3645197

Fabrizio Lillo, Zoltán Eisler, Rosario Nunzio Mantegna, János Kertész

Publication date: 16 November 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0701335

zbMATH Keywords

microstructurefirst passage timecensored dataeconophysicslimit order markettime to fill

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26) Statistical methods; economic indices and measures (91B82)

Related Items (5)

Two price regimes in limit order books: liquidity cushion and fragmented distant field ⋮ Studies of the limit order book around large price changes ⋮ Sharper asset ranking from total drawdown durations ⋮ The order book as a queueing system: average depth and influence of the size of limit orders ⋮ High-frequency trading model for a complex trading hierarchy

Cites Work

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• First passage and arrival time densities for Lévy flights and the failure of the method of images
• Non-uniqueness of the first passage time density of Lévy random processes
• Empirical Analysis of Limit Order Markets
• Analyzing and modeling 1+1d markets
• Price fluctuations from the order book perspective - empirical facts and a simple model

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