Limiting distribution for a simple model of order book dynamics

• Autorzy: Łukasz Kruk
• Języki publikacji: EN

Abstrakty

EN

A continuous-time model for the limit order book dynamics is considered. The set of outstanding limit orders is modeled as a pair of random counting measures and the limiting distribution of this pair of measure-valued processes is obtained under suitable conditions on the model parameters. The limiting behavior of the bid-ask spread and the midpoint of the bid-ask interval are also characterized.

Słowa kluczowe

EN

Order book dynamics; Bid-ask spread; Utility; Waiting costs; Measure-valued process; Weak convergence; Laplace transform

Kategorie tematyczne

• 91B26: Market models (auctions, bargaining, bidding, selling, etc.)
• 91B24: Price theory and market structure
• 91B70: Stochastic models
• 60F17: Functional limit theorems; invariance principles
• 60G57: Random measures

• Wydawca: De Gruyter Open
• Czasopismo: Open Mathematics
• Rocznik: 2012
• Tom: 10
• Numer: 6
• Strony: 2283-2295

Daty

wydano

2012-12-01

online

2012-10-12

Twórcy

autor

Łukasz Kruk

• Department of Mathematics, Maria Curie-Skłodowska University, Pl. Marii Curie-Skłodowskiej 1, 20-031, Lublin, Poland

Bibliografia

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Identyfikatory

DOI

10.2478/s11533-012-0098-3