Stochastic Model for Spread-price Dynamics in Order-driven Markets

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：jingjing0890

【摘要】

：

　　We construct and study a continuous time model that incorporates the whole limit order book to inform the joint evolution of the spread and the price proces

【作者】

：

Chen Xinyun

【机构】

：

State Univ.of New York at Stony Brook

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　We construct and study a continuous time model that incorporates the whole limit order book to inform the joint evolution of the spread and the price processes.

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Stochastic Model for Spread-price Dynamics in Order-driven Markets

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