Two price regimes in limit order books: liquidity cushion and fragmented distant field

DOI10.1088/1742-5468/AC4517OpenAlexW3177105820MaRDI QIDQ5032076

Thomas Guhr, Edgar Jungblut, Sebastian M. Krause

Publication date: 16 February 2022

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.11691

zbMATH Keywords

market microstructuremarket impactquantitative financemodels of financial markets

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Unnamed Item
• Studies of the limit order book around large price changes
• Equilibrium pricing in an order book environment: case study for a spin model
• More statistical properties of order books and price impact
• Limit order books
• A Stochastic Model for Order Book Dynamics
• Diffusive behavior and the modeling of characteristic times in limit order executions
• Empirical properties of asset returns: stylized facts and statistical issues
• Statistical properties of stock order books: empirical results and models
• Simulating and Analyzing Order Book Data: The Queue-Reactive Model
• Analyzing and modeling 1+1d markets

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