EQUIVALENCE OF PARTICLE SURVIVAL MODEL AND RECORD VALUE PROCESS, AND ITS NEW APPLICATION TO LIMIT ORDER BOOKS

• Toyoizumi Hiroshi

  Waseda University

抄録

The particle survival model, which was originally proposed to analyze the dynamics of species' coexistence, has surprisingly found to be related to a non-homogeneous Poisson process. It is also well known that successive record values of independent and identically distributed sequences have the spatial distribution of such processes. In this paper, we show that the particle survival model and the record value process are indeed equivalent. Further, we study their application to determine the optimal strategy for placing selling orders on stock exchange limit order books. Our approach considers the limit orders as particles, and assumes that the other traders have zero intelligence.

収録刊行物

• 日本オペレーションズ・リサーチ学会論文誌

  日本オペレーションズ・リサーチ学会論文誌 60 (2), 101-109, 2017

  公益社団法人 日本オペレーションズ・リサーチ学会

キーワード

• Applied probability
• particle survival model
• record value
• non-homogeneous Poisson process
• zero-intelligence
• limit order book
• last arrival problem

詳細情報

• CRID: 1390001204110232192
• NII論文ID: 130005633849
• NII書誌ID: AA00703935
• DOI: 10.15807/jorsj.60.101
• ISSN: 21888299
• ISSN: 04534514
• NDL書誌ID: 028154487
• Web Site: http://id.ndl.go.jp/bib/028154487
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I028154487
• Web Site: https://www.jstage.jst.go.jp/article/jorsj/60/2/60_101/_pdf
• 本文言語コード: en
• データソース種別:
  • JaLC
  • NDL
  • Crossref
  • CiNii Articles
• 抄録ライセンスフラグ: 使用不可