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http://hdl.handle.net/20.500.14076/29125| Title: | Bid-ask spread dynamics: large upward jump with geometric catastrophes |
| Authors: | Cerda Hernández, Jose Javier Logachov, Artem Yambartsev, Anatoly |
| Keywords: | Markov models;Limit order book;Geometric catastrophes;Liquidity fluctuations |
| Issue Date: | Apr-2024 |
| Publisher: | EDP Sciences |
| 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. |
| URI: | http://hdl.handle.net/20.500.14076/29125 |
| Rights: | info:eu-repo/semantics/openAccess |
| Appears in Collections: | Fondos Concursables |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| cerda_hj.pdf | 729,43 kB | Adobe PDF | View/Open |
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