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math.PR2022★ 1 cited
A cross-border market model with limited transmission capacities
Cassandra Milbradt, Dörte Kreher
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 parti…
math.PR2020
Jump diffusion approximation for the price dynamics of a fully state dependent limit order book model
Dörte Kreher, Cassandra Milbradt
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, an…