STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL

DOI10.1142/S021902491750039XzbMath1396.91766arXiv1502.03871MaRDI QIDQ5367502

Ioane Muni Toke

Publication date: 13 October 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.03871

zbMATH Keywords

limit order bookaggressive limit ordersaggressive market ordersKilling and resurrecting Markov processesvolume of the best quote

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (3)

Statistical inference for ergodic point processes and application to limit order book ⋮ Optimal Liquidity-Based Trading Tactics ⋮ Confidence interval for correlation estimator between latent processes

Cites Work

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• Killing and resurrection of markov processes
• Modelling intensities of order flows in a limit order book
• What really causes large price changes?
• Statistical properties of stock order books: empirical results and models
• Statistical theory of the continuous double auction
• 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

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