A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies

DOI10.1287/moor.2017.0857zbMath1434.60268arXiv1504.00579OpenAlexW1607309019MaRDI QIDQ5219304

Elena Yudovina, F. P. Kelly

Publication date: 11 March 2020

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.00579

zbMATH Keywords

queueingNash equilibriumhigh-frequency tradinglimit order bookfluid limit

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (11)

Optimal Auction Duration: A Price Formation Viewpoint ⋮ Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model ⋮ How much market making does a market need? ⋮ Rigorous results for the Stigler-Luckock model for the evolution of an order book ⋮ Limits of Limit-Order Books ⋮ Approximation and comparison of the empirical liquidity cost function for various futures contracts ⋮ Scaling limit of a limit order book model via the regenerative characterization of Lévy trees ⋮ A switching self-exciting jump diffusion process for stock prices ⋮ A dynamic model of the limit order book ⋮ A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics ⋮ A switching microstructure model for stock prices

Cites Work

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• Markov Chains and Stochastic Stability
• HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
• A steady-state model of the continuous double auction
• The order book as a queueing system: average depth and influence of the size of limit orders
• The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response *

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