A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics

DOI10.1137/15M1024226zbMath1367.60018arXiv1502.04359MaRDI QIDQ5266362

Dörte Kreher, Ulrich Horst

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/1502.04359

zbMATH Keywords

fixed point iterationweak law of large numbersmarket microstructurelimit order bookhigh frequency limit

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic models in economics (91B70)

Related Items (10)

Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model ⋮ ON BOUNCING GEOMETRIC BROWNIAN MOTIONS ⋮ Limits of Limit-Order Books ⋮ HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS ⋮ Optimal placement in a limit order book: an analytical approach ⋮ A diffusion approximation for limit order book models ⋮ Second order approximations for limit order books ⋮ A Scaling Limit for Limit Order Books Driven by Hawkes Processes ⋮ Solutions of mixed-type functional differential equations with state-dependence ⋮ Positive solutions of iterative functional differential equations and application to mixed-type functional differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• The market impact of a limit order
• Optimal order display in limit order markets with liquidity competition
• A functional limit theorem for limit order books with state dependent price dynamics
• Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
• Price Dynamics in a Markovian Limit Order Market
• Coupling Limit Order Books and Branching Random Walks
• A Stochastic Model for Order Book Dynamics
• Long-Time Behavior of a Hawkes Process--Based Limit Order Book
• A Law of Large Numbers for Limit Order Books
• Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework
• What really causes large price changes?
• Simulating and Analyzing Order Book Data: The Queue-Reactive Model

This page was built for publication: A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics