Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models

DOI10.1080/1350486X.2020.1758176zbMath1451.91186arXiv1808.07107OpenAlexW3025214546MaRDI QIDQ5126683

Jasdeep Kalsi, James Newbury, Benjamin M. Hambly

Publication date: 20 October 2020

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.07107

zbMATH Keywords

stochastic partial differential equationslimit order bookshigh- to ultra high-frequency settingmicroscopic, mesoscopic and macroscopic frameworks

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Financial markets (91G15)

Related Items

Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes ⋮ A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics

Cites Work

• Unnamed Item
• Unnamed Item
• Lattice approximations of reflected stochastic partial differential equations driven by space-time white noise
• A Stefan-type stochastic moving boundary problem
• White noise driven SPDEs with reflection: existence, uniqueness and large deviation principles
• Stochastic differential equations with reflecting boundary condition in convex regions
• White noise driven SPDEs with reflection
• A functional limit theorem for limit order books with state dependent price dynamics
• A stochastic Stefan problem
• A reflected moving boundary problem driven by space-time white noise
• A MATHEMATICAL APPROACH TO ORDER BOOK MODELING
• Limit order books
• Price Dynamics in a Markovian Limit Order Market
• A Stochastic Model for Order Book Dynamics
• Continuous Auctions and Insider Trading
• Market Behavior in a Clearing House
• Enhancing trading strategies with order book signals
• Optimal Decisions in a Time Priority Queue
• A Law of Large Numbers for Limit Order Books
• HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
• The order book as a queueing system: average depth and influence of the size of limit orders
• Simulating and Analyzing Order Book Data: The Queue-Reactive Model
• Functional Limit Theorems for a Simple Auction