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math.PR2015★ 1 cited
A note on functional limit theorems for compound Cox processes
V. Yu. Korolev, A. V. Chertok, A. Yu. Korchagin +2
An improved version of the functional limit theorem is proved establishing weak convergence of random walks generated by compound doubly stochastic Poisson processes (compound Cox…
math.PR2014★ 1 cited
Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
V. Yu. Korolev, A. V. Chertok, A. Yu. Korchagin +1
A micro-scale model is proposed for the evolution of the limit order book. Within this model, the flows of orders (claims) are described by doubly stochastic Poisson processes taki…