Limiting distribution for a simple model of order book dynamics
type: Item
instance of: scholarly article
title: Limiting distribution for a simple model of order book dynamics
zbMATH Open document ID: 1282.91133
published in: Central European Journal of Mathematics
publication date: 2013-02-18T00:00:00Z
Mathematics Subject Classification ID: 91B26
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 60F17
Mathematics Subject Classification ID: 60G57
zbMATH DE Number: 6137109
zbMATH Keywords: order book dynamics
zbMATH Keywords: bid-ask spread
zbMATH Keywords: utility
zbMATH Keywords: waiting costs
zbMATH Keywords: measure-valued process
zbMATH Keywords: weak convergence
zbMATH Keywords: Laplace transform
author: Łukasz Kruk
MaRDI profile type: Publication
full work available at URL: s11533-012-0098-3
OpenAlex ID: W2094219497
cites work: Applied Probability and Queues
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cites work: Q3721531
cites work: Multiple channel queues in heavy traffic. I
cites work: Q4039796
cites work: Functional Limit Theorems for a Simple Auction
cites work: A steady-state model of the continuous double auction
cites work: Market Behavior in a Clearing House
DOI: 10.2478/S11533-012-0098-3
description: scientific article; zbMATH DE number 6137109