Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework

DOI10.1137/16M1064337zbMath1407.91126arXiv1505.04936OpenAlexW1599124379MaRDI QIDQ4607054

Mathieu Rosenbaum, Weibing Huang

Publication date: 12 March 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.04936

zbMATH Keywords

microstructurelimit theoremshigh frequency dataorder book modeling

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Auctions, bargaining, bidding and selling, and other market models (91B26) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (12)

Statistical inference for ergodic point processes and application to limit order book ⋮ Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model ⋮ Modelling intensities of order flows in a limit order book ⋮ State-dependent Hawkes processes and their application to limit order book modelling ⋮ Optimal Liquidity-Based Trading Tactics ⋮ A generative model of a limit order book using recurrent neural networks ⋮ Order Book Queue Hawkes Markovian Modeling ⋮ From tick data to semimartingales ⋮ A diffusion approximation for limit order book models ⋮ Second order approximations for limit order books ⋮ Optimal inventory management and order book modeling ⋮ A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics

Cites Work

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• Long-Time Behavior of a Hawkes Process--Based Limit Order Book
• Markov Chains and Stochastic Stability
• Statistical properties of stock order books: empirical results and models
• Statistical theory of the continuous double auction
• Simulating and Analyzing Order Book Data: The Queue-Reactive Model

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