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http://hdl.handle.net/20.500.14076/29125| Título : | Bid-ask spread dynamics: large upward jump with geometric catastrophes |
| Autor : | Cerda Hernández, Jose Javier Logachov, Artem Yambartsev, Anatoly |
| Palabras clave : | Markov models;Limit order book;Geometric catastrophes;Liquidity fluctuations |
| Fecha de publicación : | abr-2024 |
| Editorial : | EDP Sciences |
| Resumen : | We propose a simple continuous-time stochastic model for capturing the dynamics of a limit order book in the presence of liquidity fluctuations, manifested by gaps in filled price levels within the OB. Inspired by [D. Farmer, L. Gillemot, F. Lillo, S. Mike and A. Sen, Quant. Finance 4 (2004) 383–397.], we define a model for the dynamics of spread that incorporates liquidity fluctuations and undertake a comprehensive theoretical study of the model’s properties, providing rigorous proofs of several key asymptotic theorems. Furthermore, we show how large deviations manifest in the spread under this regime. |
| URI : | http://hdl.handle.net/20.500.14076/29125 |
| Derechos: | info:eu-repo/semantics/openAccess |
| Aparece en las colecciones: | Fondos Concursables |
Ficheros en este ítem:
| Fichero | Descripción | Tamaño | Formato | |
|---|---|---|---|---|
| cerda_hj.pdf | 729,43 kB | Adobe PDF | Visualizar/Abrir |
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