Matches in SemOpenAlex for { <https://semopenalex.org/work/W4297912812> ?p ?o ?g. }
Showing items 1 to 73 of
73
with 100 items per page.
- W4297912812 abstract "We propose a model for the dynamics of a limit order book in a liquid market where buy and sell orders are submitted at high frequency. We derive a functional central limit theorem for the joint dynamics of the bid and ask queues and show that, when the frequency of order arrivals is large, the intraday dynamics of the limit order book may be approximated by a Markovian jump-diffusion process in the positive orthant, whose characteristics are explicitly described in terms of the statistical properties of the underlying order flow. This result allows to obtain tractable analytical approximations for various quantities of interest, such as the probability of a price increase or the distribution of the duration until the next price move, conditional on the state of the order book. Our results allow for a wide range of distributional assumptions and temporal dependence in the order flow and apply to a wide class of stochastic models proposed for order book dynamics, including models based on Poisson point processes, self-exciting point processes and models of the ACD-GARCH family." @default.
- W4297912812 created "2022-10-01" @default.
- W4297912812 creator A5067022036 @default.
- W4297912812 creator A5079973309 @default.
- W4297912812 date "2012-02-28" @default.
- W4297912812 modified "2023-09-23" @default.
- W4297912812 title "Order book dynamics in liquid markets: limit theorems and diffusion approximations" @default.
- W4297912812 doi "https://doi.org/10.48550/arxiv.1202.6412" @default.
- W4297912812 hasPublicationYear "2012" @default.
- W4297912812 type Work @default.
- W4297912812 citedByCount "0" @default.
- W4297912812 crossrefType "posted-content" @default.
- W4297912812 hasAuthorship W4297912812A5067022036 @default.
- W4297912812 hasAuthorship W4297912812A5079973309 @default.
- W4297912812 hasBestOaLocation W42979128121 @default.
- W4297912812 hasConcept C100906024 @default.
- W4297912812 hasConcept C10138342 @default.
- W4297912812 hasConcept C105795698 @default.
- W4297912812 hasConcept C121332964 @default.
- W4297912812 hasConcept C121864883 @default.
- W4297912812 hasConcept C134306372 @default.
- W4297912812 hasConcept C144237770 @default.
- W4297912812 hasConcept C151201525 @default.
- W4297912812 hasConcept C159985019 @default.
- W4297912812 hasConcept C162324750 @default.
- W4297912812 hasConcept C182306322 @default.
- W4297912812 hasConcept C192562407 @default.
- W4297912812 hasConcept C204323151 @default.
- W4297912812 hasConcept C2780016784 @default.
- W4297912812 hasConcept C2780695682 @default.
- W4297912812 hasConcept C28826006 @default.
- W4297912812 hasConcept C33923547 @default.
- W4297912812 hasConcept C62520636 @default.
- W4297912812 hasConcept C88871306 @default.
- W4297912812 hasConceptScore W4297912812C100906024 @default.
- W4297912812 hasConceptScore W4297912812C10138342 @default.
- W4297912812 hasConceptScore W4297912812C105795698 @default.
- W4297912812 hasConceptScore W4297912812C121332964 @default.
- W4297912812 hasConceptScore W4297912812C121864883 @default.
- W4297912812 hasConceptScore W4297912812C134306372 @default.
- W4297912812 hasConceptScore W4297912812C144237770 @default.
- W4297912812 hasConceptScore W4297912812C151201525 @default.
- W4297912812 hasConceptScore W4297912812C159985019 @default.
- W4297912812 hasConceptScore W4297912812C162324750 @default.
- W4297912812 hasConceptScore W4297912812C182306322 @default.
- W4297912812 hasConceptScore W4297912812C192562407 @default.
- W4297912812 hasConceptScore W4297912812C204323151 @default.
- W4297912812 hasConceptScore W4297912812C2780016784 @default.
- W4297912812 hasConceptScore W4297912812C2780695682 @default.
- W4297912812 hasConceptScore W4297912812C28826006 @default.
- W4297912812 hasConceptScore W4297912812C33923547 @default.
- W4297912812 hasConceptScore W4297912812C62520636 @default.
- W4297912812 hasConceptScore W4297912812C88871306 @default.
- W4297912812 hasLocation W42979128121 @default.
- W4297912812 hasLocation W42979128122 @default.
- W4297912812 hasLocation W42979128123 @default.
- W4297912812 hasLocation W42979128124 @default.
- W4297912812 hasLocation W42979128125 @default.
- W4297912812 hasOpenAccess W4297912812 @default.
- W4297912812 hasPrimaryLocation W42979128121 @default.
- W4297912812 hasRelatedWork W1675002398 @default.
- W4297912812 hasRelatedWork W1980345357 @default.
- W4297912812 hasRelatedWork W1986653059 @default.
- W4297912812 hasRelatedWork W2062683375 @default.
- W4297912812 hasRelatedWork W2091600578 @default.
- W4297912812 hasRelatedWork W2613209927 @default.
- W4297912812 hasRelatedWork W2951395441 @default.
- W4297912812 hasRelatedWork W3122888083 @default.
- W4297912812 hasRelatedWork W4244043817 @default.
- W4297912812 hasRelatedWork W4300175534 @default.
- W4297912812 isParatext "false" @default.
- W4297912812 isRetracted "false" @default.
- W4297912812 workType "article" @default.