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http://hdl.handle.net/20.500.14076/29125Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Cerda Hernández, Jose Javier | - |
| dc.contributor.author | Logachov, Artem | - |
| dc.contributor.author | Yambartsev, Anatoly | - |
| dc.creator | Yambartsev, Anatoly | - |
| dc.creator | Logachov, Artem | - |
| dc.creator | Cerda Hernández, Jose Javier | - |
| dc.date.accessioned | 2026-03-31T21:01:01Z | - |
| dc.date.available | 2026-03-31T21:01:01Z | - |
| dc.date.issued | 2024-04 | - |
| dc.identifier.uri | http://hdl.handle.net/20.500.14076/29125 | - |
| dc.description.abstract | 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. | en |
| dc.description.sponsorship | Este trabajo fue financiado por el Fondo Nacional de Desarrollo Científico, Tecnológico y de Innovación Tecnológica (Fondecyt - Perú) en el marco del "Asignación óptima de una cartera bajo la dinámica de Cramer-Lundberg y modelamiento del spread usando procesos de Hawkes" [número de contrato 427-2019] | es |
| dc.format | application/pdf | es |
| dc.language.iso | eng | en |
| dc.publisher | EDP Sciences | es |
| dc.relation.ispartof | RAIRO Operations Research | es |
| dc.rights | info:eu-repo/semantics/openAccess | es |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | es |
| dc.source | Universidad Nacional de Ingeniería | es |
| dc.source | Repositorio Institucional - UNI | es |
| dc.subject | Markov models | en |
| dc.subject | Limit order book | en |
| dc.subject | Geometric catastrophes | en |
| dc.subject | Liquidity fluctuations | en |
| dc.title | Bid-ask spread dynamics: large upward jump with geometric catastrophes | en |
| dc.type | info:eu-repo/semantics/article | es |
| dc.identifier.doi | https://doi.org/10.1051/ro/2024039 | es |
| dc.type.version | http://purl.org/coar/version/c_970fb48d4fbd8a85 | es |
| dc.subject.ocde | https://purl.org/pe-repo/ocde/ford#1.01.02 | es |
| Appears in Collections: | Fondos Concursables | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| cerda_hj.pdf | 729,43 kB | Adobe PDF | View/Open |
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