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6 - Single-Queue Dynamics for Large-Tick Stocks

from PART III - LIMIT ORDER BOOKS: MODELS

Published online by Cambridge University Press:  26 February 2018

Jean-Philippe Bouchaud ,
Julius Bonart ,
Jonathan Donier  and
Martin Gould
Jean-Philippe Bouchaud
Affiliation:
Capital Fund Management, Paris
Julius Bonart
Affiliation:
University College London
Jonathan Donier
Affiliation:
Capital Fund Management
Martin Gould
Affiliation:
CFM - Imperial Institute of Quantitative Finance
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Information
Trades, Quotes and Prices
Financial Markets Under the Microscope
 , pp. 101 - 116
Publisher: Cambridge University Press
Print publication year: 2018

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References

Feller, W. (1971). An introduction to probability theory and its applications.(Vol. 2). John Wiley and Sons.Google Scholar
Van Kampen, N. G. (1983). Stochastic processes in physics and chemistry. North-Holland.Google Scholar
Risken, H. (1984). The Fokker–Planck equation. Springer, Berlin-Heidelberg.CrossRefGoogle Scholar
Gardiner, C. W. (1985). Stochastic methods. Springer, Berlin-Heidelberg.Google Scholar
Hänggi, P., Talkner, P., & Borkovec, M. (1990). Reaction-rate theory: Fifty years after Kramers. Reviews of Modern Physics, 62(2), 251.
Redner, S. (2001). A guide to first-passage processes. Cambridge University Press.CrossRefGoogle Scholar
Cont, R., & De Larrard, A. (2012). Order book dynamics in liquid markets: Limit theorems and diffusion approximations. https://ssrn.com/abstract=1757861.
Garèche, A., Disdier, G., Kockelkoren, J., & Bouchaud, J. P. (2013). Fokker-Planck description for the queue dynamics of large-tick stocks. Physical Review E, 88(3), 032809.CrossRefGoogle ScholarPubMed
Yang, T. W., & Zhu, L. (2016). A reduced-form model for level-1 limit order books. Market Microstructure and Liquidity, 2(02), 1650008.CrossRefGoogle Scholar

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