Equivalence of particle survival model and record value process, and its new application to limit order books

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish
Pages (from-to)101-109
Number of pages9
JournalJournal of the Operations Research Society of Japan
Volume60
Issue number2
DOIs
Publication statusPublished - 2017 Apr

Keywords

  • Applied probability
  • Last arrival problem
  • Limit order book
  • Non-homogeneous Poisson process
  • Particle survival model
  • Record value
  • Zero-intelligence

ASJC Scopus subject areas

  • Decision Sciences(all)
  • Management Science and Operations Research

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