1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.TR2015
A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions
Xin Liu, Qi Gong, Vidyadhar G. Kulkarni
We consider a limit order book, where buyers and sellers register to trade a security at specific prices. The largest price buyers on the book are willing to offer is called the ma…
math.PR2014★ 1 cited
Diffusion Models for Double-ended Queues with Renewal Arrival Processes
Xin Liu, Qi Gong, Vidyadhar G. Kulkarni
We study a double-ended queue where buyers and sellers arrive to conduct trades. When there is a pair of buyer and seller in the system, they immediately transact a trade and leave…