Bid-ask spread dynamics: large upward jump with geometric catastrophes
From MaRDI portal
Publication:6550890
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)
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
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the Markov chain central limit theorem
- A remark on normalizations in a local large deviations principle for inhomogeneous birth-and-death process
- Large deviations in a population dynamics with catastrophes
- The extended large deviation principle for a process with independent increments
- Price Dynamics in a Markovian Limit Order Market
- Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit
- A Stochastic Model for Order Book Dynamics
- High-frequency trading in a limit order book
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Markov Chains
- Optimal order placement in limit order markets
- What really causes large price changes?
- Statistical theory of the continuous double auction
- Topics in the Constructive Theory of Countable Markov Chains
- Endogenous liquidity crises
- Simulating and Analyzing Order Book Data: The Queue-Reactive Model
This page was built for publication: Bid-ask spread dynamics: large upward jump with geometric catastrophes