Bid-ask spread dynamics: large upward jump with geometric catastrophes | Sciact - Система учета научной деятельности ИМ СО РАН

Bid-ask spread dynamics: large upward jump with geometric catastrophes Научная публикация

Журнал

RAIRO - Operations Research
ISSN: 0399-0559 , E-ISSN: 1290-3868

Вых. Данные

Год: 2024, Том: 58, Номер: 2, Страницы: 1375-1399 Страниц : 25 DOI: 10.1051/ro/2024039

Ключевые слова

Markov models, limit order book, geometric catastrophes, liquidity fluctuations.

Авторы

Cerda Hernández Jose Javier ¹ , Logachov Artem ² , Yambartsev Anatoly ³

Организации

1	Econometric Modelling and Data Science Research Group, National University of Engineering
2	Laboratory of Probability Theory and Mathematical Statistics
3	Department of Statistics, Institute of Mathematics and Statistics, University of Sãao Paulo

Информация о финансировании (1)

Институт математики им. С.Л. Соболева СО РАН

FWNF-2022-0010

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.

Cerda Hernández J.J. , Logachov A. , Yambartsev A.
Bid-ask spread dynamics: large upward jump with geometric catastrophes
RAIRO - Operations Research. 2024. V.58. N2. P.1375-1399. DOI: 10.1051/ro/2024039 WOS Scopus РИНЦ OpenAlex

Поступила в редакцию:	19 сент. 2023 г.
Принята к публикации:	10 февр. 2024 г.
Опубликована online:	5 апр. 2024 г.
Опубликована в печати:	10 апр. 2024 г.

Web of science:	WOS:001197566700004
Scopus:	2-s2.0-85190296408
РИНЦ:	66167139
OpenAlex:	W4391772239

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