Bid-ask spread dynamics: large upward jump with geometric catastrophes

DOI10.1051/ro/2024039zbMath1537.91296MaRDI QIDQ6550890

Artem Vasilhevich Logachov, Anatoly Yambartsev, Jose Javier Cerda-Hernández

Publication date: 5 June 2024

Published in: RAIRO. Operations Research (Search for Journal in Brave)

zbMATH Keywords

Markov modelslimit order bookgeometric catastrophesliquidity fluctuations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Large deviations (60F10) Applications of continuous-time Markov processes on discrete state spaces (60J28) Financial markets (91G15)

Cites Work

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