A Semi-Markovian Modeling of Limit Order Markets

DOI10.1137/15M1015406zbMath1370.60155arXiv1601.01710OpenAlexW3121616782MaRDI QIDQ5266360

Anatoliy Swishchuk, N. Vadori

Publication date: 2 June 2017

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

Full work available at URL: https://arxiv.org/abs/1601.01710

zbMATH Keywords

Markov renewal processWeibull distributionsemi-Markov processBurr distributionduration analysislimit order bookdiffusion limitgamma distributions

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Diffusion processes (60J60) Markov renewal processes, semi-Markov processes (60K15) Functional limit theorems; invariance principles (60F17) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Related Items (7)

An econometric analysis of drawdown based measures ⋮ Stochastic modelling of big data in finance ⋮ GENERAL SEMI-MARKOV MODEL FOR LIMIT ORDER BOOKS ⋮ Modelling of limit order books by general compound Hawkes processes with implementations ⋮ A semi-martingale representation for a semi-Markov chain with application to finance ⋮ A level-1 limit order book with time dependent arrival rates ⋮ ROCOF of higher order for semi-Markov processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Incorporating order-flow into optimal execution
• Auctions as algorithms. Computerized trade execution and price discovery
• Limit order books
• Price Dynamics in a Markovian Limit Order Market
• High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model
• Optimal Execution in a General One-Sided Limit-Order Book
• A Stochastic Model for Order Book Dynamics
• The Long Memory of the Efficient Market
• High-frequency trading in a limit order book
• A Look at the Burr and Related Distributions
• Market Behavior in a Clearing House
• A Law of Large Numbers for Limit Order Books
• Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
• Optimal execution with limit and market orders
• A steady-state model of the continuous double auction
• Statistical theory of the continuous double auction
• Empirical Analysis of Limit Order Markets
• Discrete-Time Semi-Markov Random Evolutions and their Applications
• Strong Law of Large Numbers and Central Limit Theorems for Functionals of Inhomogeneous Semi-Markov Processes
• Optimal high-frequency trading with limit and market orders
• Semi-Markov processes and reliability

This page was built for publication: A Semi-Markovian Modeling of Limit Order Markets