{"id":"https://openalex.org/W2952890352","doi":"https://doi.org/10.1137/15m1015406","title":"A Semi-Markovian Modeling of Limit Order Markets","display_name":"A Semi-Markovian Modeling of Limit Order Markets","publication_year":2017,"publication_date":"2017-01-01","ids":{"openalex":"https://openalex.org/W2952890352","doi":"https://doi.org/10.1137/15m1015406","mag":"2952890352"},"language":"en","primary_location":{"id":"doi:10.1137/15m1015406","is_oa":false,"landing_page_url":"https://doi.org/10.1137/15m1015406","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"preprint","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"http://arxiv.org/pdf/1601.01710","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5087178350","display_name":"Anatoliy Swishchuk","orcid":"https://orcid.org/0000-0002-4822-9934"},"institutions":[{"id":"https://openalex.org/I168635309","display_name":"University of Calgary","ror":"https://ror.org/03yjb2x39","country_code":"CA","type":"education","lineage":["https://openalex.org/I168635309"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Anatoliy Swishchuk","raw_affiliation_strings":["University#N#                            of Calgary"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University#N#                            of Calgary","institution_ids":["https://openalex.org/I168635309"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5046489226","display_name":"Nelson Vadori","orcid":"https://orcid.org/0000-0002-0690-4866"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Nelson Vadori","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.17679064,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"8","issue":"1","first_page":"240","last_page":"273"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9909999966621399,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9909999966621399,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11161","display_name":"Consumer Market Behavior and Pricing","score":0.9883999824523926,"subfield":{"id":"https://openalex.org/subfields/1406","display_name":"Marketing"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11152","display_name":"Stochastic processes and statistical mechanics","score":0.9882000088691711,"subfield":{"id":"https://openalex.org/subfields/2610","display_name":"Mathematical Physics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/bid-price","display_name":"Bid price","score":0.6999815106391907},{"id":"https://openalex.org/keywords/limit","display_name":"Limit (mathematics)","score":0.6178824305534363},{"id":"https://openalex.org/keywords/queue","display_name":"Queue","score":0.5380956530570984},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.5094931721687317},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.4751589000225067},{"id":"https://openalex.org/keywords/ask-price","display_name":"Ask price","score":0.47157591581344604},{"id":"https://openalex.org/keywords/event","display_name":"Event (particle physics)","score":0.4646014869213104},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.46171024441719055},{"id":"https://openalex.org/keywords/laplace-transform","display_name":"Laplace transform","score":0.45296457409858704},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.4229907989501953},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.40774214267730713},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.37416523694992065},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.35485631227493286},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.33772486448287964},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.20625194907188416},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.16236507892608643},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.14326292276382446},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.13003131747245789},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.1164303719997406}],"concepts":[{"id":"https://openalex.org/C76281924","wikidata":"https://www.wikidata.org/wiki/Q1499526","display_name":"Bid price","level":2,"score":0.6999815106391907},{"id":"https://openalex.org/C151201525","wikidata":"https://www.wikidata.org/wiki/Q177239","display_name":"Limit (mathematics)","level":2,"score":0.6178824305534363},{"id":"https://openalex.org/C160403385","wikidata":"https://www.wikidata.org/wiki/Q220543","display_name":"Queue","level":2,"score":0.5380956530570984},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.5094931721687317},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.4751589000225067},{"id":"https://openalex.org/C90329073","wikidata":"https://www.wikidata.org/wiki/Q914232","display_name":"Ask price","level":2,"score":0.47157591581344604},{"id":"https://openalex.org/C2779662365","wikidata":"https://www.wikidata.org/wiki/Q5416694","display_name":"Event (particle physics)","level":2,"score":0.4646014869213104},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.46171024441719055},{"id":"https://openalex.org/C97937538","wikidata":"https://www.wikidata.org/wiki/Q199691","display_name":"Laplace transform","level":2,"score":0.45296457409858704},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.4229907989501953},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.40774214267730713},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.37416523694992065},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.35485631227493286},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.33772486448287964},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.20625194907188416},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.16236507892608643},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.14326292276382446},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.13003131747245789},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1164303719997406},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":6,"locations":[{"id":"doi:10.1137/15m1015406","is_oa":false,"landing_page_url":"https://doi.org/10.1137/15m1015406","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:arx:papers:1601.01710","is_oa":true,"landing_page_url":null,"pdf_url":"http://arxiv.org/pdf/1601.01710","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:arXiv.org:1601.01710","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1601.01710","pdf_url":"https://arxiv.org/pdf/1601.01710","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"mag:2952890352","is_oa":true,"landing_page_url":"https://arxiv.org/pdf/1601.01710.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"arXiv (Cornell University)","raw_type":null},{"id":"mag:3122694125","is_oa":false,"landing_page_url":"https://econpapers.repec.org/RePEc:arx:papers:1601.01710","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"doi:10.48550/arxiv.1601.01710","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1601.01710","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"pmh:oai:RePEc:arx:papers:1601.01710","is_oa":true,"landing_page_url":null,"pdf_url":"http://arxiv.org/pdf/1601.01710","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1896565072","display_name":null,"funder_award_id":"RT732266","funder_id":"https://openalex.org/F4320334593","funder_display_name":"Natural Sciences and Engineering Research Council of Canada"}],"funders":[{"id":"https://openalex.org/F4320334593","display_name":"Natural Sciences and Engineering Research Council of Canada","ror":"https://ror.org/01h531d29"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2952890352.pdf","grobid_xml":"https://content.openalex.org/works/W2952890352.grobid-xml"},"referenced_works_count":28,"referenced_works":["https://openalex.org/W1520976066","https://openalex.org/W1637685912","https://openalex.org/W1966396540","https://openalex.org/W1967753816","https://openalex.org/W1973445020","https://openalex.org/W1988270113","https://openalex.org/W2002106003","https://openalex.org/W2054012536","https://openalex.org/W2070881262","https://openalex.org/W2103824572","https://openalex.org/W2120859246","https://openalex.org/W2132565565","https://openalex.org/W2140353194","https://openalex.org/W2162288466","https://openalex.org/W2165932698","https://openalex.org/W2171217792","https://openalex.org/W3100258557","https://openalex.org/W3101983215","https://openalex.org/W3121195520","https://openalex.org/W3122899455","https://openalex.org/W3124439958","https://openalex.org/W3124706086","https://openalex.org/W3125487688","https://openalex.org/W3125789262","https://openalex.org/W3125796404","https://openalex.org/W3125906678","https://openalex.org/W4235742619","https://openalex.org/W4244077793"],"related_works":["https://openalex.org/W3122694125","https://openalex.org/W3124348761","https://openalex.org/W2609080066","https://openalex.org/W3123776838","https://openalex.org/W3125349390","https://openalex.org/W2316583014","https://openalex.org/W3101983215","https://openalex.org/W2012157439","https://openalex.org/W3123564910","https://openalex.org/W2379248496","https://openalex.org/W2964350841","https://openalex.org/W2558747942","https://openalex.org/W2112415720","https://openalex.org/W2976975072","https://openalex.org/W2575495476","https://openalex.org/W2907897911","https://openalex.org/W2611942370","https://openalex.org/W3121460820","https://openalex.org/W3124513180","https://openalex.org/W3123131505"],"abstract_inverted_index":{"R.":[0],"Cont":[1,171],"and":[2,68,78,108,129,161,172,196,207,214,248,255],"A.":[3,173],"de":[4,174],"Larrard":[5,175],"[SIAM":[6],"J.":[7,177],"Financial":[8,178],"Math.,":[9,179],"4":[10,180],"(2013),":[11,181],"pp.":[12,182],"1--25]":[13],"introduced":[14],"a":[15,23,37,74,211],"tractable":[16],"stochastic":[17,252],"model":[18,102,136,227],"for":[19,61,118,228],"the":[20,34,41,45,71,85,88,103,106,119,138,151,184,194,218,229,232,238,242],"dynamics":[21,104,244],"of":[22,30,36,44,73,87,105,122,125,225,241],"limit":[24,43,240],"order":[25],"book,":[26],"computing":[27],"various":[28,123],"quantities":[29,124],"interest":[31],"such":[32],"as":[33],"probability":[35],"price":[38,46,212,243],"increase":[39],"or":[40],"diffusion":[42,239],"process.":[47],"As":[48,168],"suggested":[49],"by":[50,95,133],"empirical":[51],"observations,":[52],"we":[53,249],"extend":[54],"their":[55],"framework":[56],"to":[57,97,101,137,150,162,190],"(1)":[58],"arbitrary":[59],"distributions":[60],"book":[62,76,90],"events":[63],"interarrival":[64,81],"times":[65],"(possibly":[66],"nonexponential)":[67],"(2)":[69],"both":[70],"nature":[72,86],"new":[75],"event":[77],"its":[79],"corresponding":[80],"time":[82],"depend":[83],"on":[84,146],"previous":[89],"event.":[91],"We":[92,111,127,221],"do":[93],"so":[94],"resorting":[96],"Markov":[98],"renewal":[99],"processes":[100],"bid":[107,195],"ask":[109,197],"queues.":[110],"keep":[112],"analytical":[113],"tractability":[114],"via":[115],"explicit":[116],"expressions":[117],"Laplace":[120],"transforms":[121],"interest.":[126],"justify":[128],"illustrate":[130],"our":[131,135,226],"approach":[132],"calibrating":[134],"five":[139],"stocks":[140,153],"Amazon,":[141],"Apple,":[142],"Google,":[143],"Intel,":[144],"Microsoft":[145],"June":[147],"21,":[148],"2012,":[149],"15":[152],"from":[154,204],"Deutsche":[155],"B\u00f6rse":[156],"Group":[157],"(September":[158],"23,":[159],"2013)":[160],"CISCO":[163],"asset":[164],"(November":[165],"3,":[166],"2014).":[167],"in":[169,245],"[R.":[170],"SIAM":[176],"1--25],":[183],"bid-ask":[185],"spread":[186,233],"remains":[187],"constant":[188],"equal":[189],"one":[191],"tick,":[192],"only":[193],"queues":[198],"are":[199,202],"modeled":[200],"(they":[201],"independent":[203],"each":[205],"other":[206],"get":[208],"reinitialized":[209],"after":[210],"change),":[213],"all":[215],"orders":[216],"have":[217],"same":[219],"size.":[220],"discuss":[222,251],"possible":[223],"extensions":[224],"case":[230],"when":[231],"is":[234],"not":[235],"fixed,":[236],"including":[237],"this":[246],"case,":[247],"also":[250],"optimal":[253],"control":[254],"market":[256],"making":[257],"problems.":[258]},"counts_by_year":[{"year":2016,"cited_by_count":1}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}
