Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets
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Publication:5031627
DOI10.1287/opre.2020.1989zbMath1485.90023OpenAlexW3172097672MaRDI QIDQ5031627
Constantinos Maglaras, Hua Zheng, Ciamac Cyrus Moallemi
Publication date: 16 February 2022
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.2020.1989
Statistical methods; risk measures (91G70) Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22) Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26) Functional limit theorems; invariance principles (60F17)
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