Zobrazeno 1 - 10
of 46
pro vyhledávání: '"Kreher, Dörte"'
We construct non-negative martingale solutions to the stochastic porous medium equation in one dimension with homogeneous Dirichlet boundary conditions which exhibit a type of sticky behavior at zero. The construction uses the stochastic Faedo--Galer
Externí odkaz:
http://arxiv.org/abs/2411.05924
We establish a first and second-order approximation for an infinite dimensional limit order book model (LOB) in a single (''critical'') scaling regime where market and limit orders arrive at a common time scale. With our choice of scaling we obtain n
Externí odkaz:
http://arxiv.org/abs/2308.00805
The concept of correlated noise is well-established in discrete-time stochastic modelling but there is no generally agreed-upon definition of the notion of red noise in continuous-time stochastic modelling. Here we discuss the generalization of discr
Externí odkaz:
http://arxiv.org/abs/2212.03566
Autor:
Milbradt, Cassandra, Kreher, Dörte
We develop a cross-border market model for two countries based on a continuous trading mechanism, in which the transmission capacities that enable transactions between market participants from different countries are limited. Our market model can be
Externí odkaz:
http://arxiv.org/abs/2207.01939
Autor:
Herdegen, Martin, Kreher, Dörte
We introduce a new definition of speculative bubbles in discrete-time models based on the discounted stock price losing mass at some finite drop-down under an equivalent martingale measure. We provide equivalent probabilistic characterisations of thi
Externí odkaz:
http://arxiv.org/abs/2104.12740
Autor:
Kreher, Dörte, Milbradt, Cassandra
We study a microscopic limit order book model, in which the order dynamics depend on the current best bid and ask price and the current volume density functions, simultaneously, and derive its macroscopic high-frequency dynamics. As opposed to the ex
Externí odkaz:
http://arxiv.org/abs/2010.13497
Autor:
Horst, Ulrich, Kreher, Dörte
In this paper we derive a second order approximation for an infinite dimensional limit order book model, in which the dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator (e.g.~the volu
Externí odkaz:
http://arxiv.org/abs/1708.07394
Autor:
Horst, Ulrich, Kreher, Dörte
This paper derives a diffusion approximation for a sequence of discrete-time one-sided limit order book models with non-linear state dependent order arrival and cancellation dynamics. The discrete time sequences are specified in terms of an $\R_+$-va
Externí odkaz:
http://arxiv.org/abs/1608.01795
Autor:
Horst, Ulrich, Kreher, Dörte
This paper studies a limit order book (LOB) model, in which the order dynamics depend on both, the current best available prices and the current volume density functions. For the joint dynamics of the best bid price, the best ask price, and the stand
Externí odkaz:
http://arxiv.org/abs/1502.04359
Autor:
Kreher, Dörte
This paper extends results of Mortimer and Williams (1991) about changes of probability measure up to a random time under the assumptions that all martingales are continuous and that the random time avoids stopping times. We consider locally absolute
Externí odkaz:
http://arxiv.org/abs/1309.6141