EQUIVALENCE OF PARTICLE SURVIVAL MODEL AND RECORD VALUE PROCESS, AND ITS NEW APPLICATION TO LIMIT ORDER BOOKS

DOI10.15807/JORSJ.60.101zbMATH Open1377.91107OpenAlexW2611085895WikidataQ107967972 ScholiaQ107967972MaRDI QIDQ5365655

Hiroshi Toyoizumi

Publication date: 6 October 2017

Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15807/jorsj.60.101

zbMATH Keywords

record valueapplied probabilitynon-homogeneous Poisson processlimit order bookzero-intelligencelast arrival problemparticle survival model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial science and mathematical finance (91G99)

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