Gorshenin A.K.,Russian Academy of Sciences |
Korolev V.Y.,Russian Academy of Sciences |
Zeifman A.I.,Vologda State Pedagogical University |
Shorgin S.Y.,Russian Academy of Sciences |
And 3 more authors.
AIP Conference Proceedings | Year: 2013
A micro-scale model is proposed for the evolution of such information system as the limit order book in financial markets. Within this model, the flows of orders (claims) are described by doubly stochastic Poisson processes taking account of the stochastic character of intensities of buy and sell orders that determine the price discovery mechanism. The proposed multiplicative model of stochastic intensities makes it possible to analyze the characteristics of the order flows as well as the instantaneous proportion of the forces of buyers and sellers, that is, the imbalance process, without modelling the external information background. The proposed model gives the opportunity to link the micro-scale (high-frequency) dynamics of the limit order book with the macro-scale models of stock price processes of the form of subordinated Wiener processes by means of limit theorems of probability theory and hence, to use the normal variance-mean mixture models of the corresponding heavy-tailed distributions. The approach can be useful in different areas with similar properties (e.g., in plasma physics). © 2013 AIP Publishing LLC.
Vologda State Pedagogical University | Entity website
Kalinicheva O.V.,Vologda State Pedagogical University |
Tomanov V.P.,Vologda State Pedagogical University
Kinematics and Physics of Celestial Bodies | Year: 2012
We consider the connection with Uranus for: (1) 945 near-parabolic comets (the period P > 200 years, the perihelion distance q > 0.1 AU), (2) 1277 Kreutz comets (P > 200 years, q < 0.01 AU), and (3) 414 short-period comets (P < 200 years). It turns out that none of near-parabolic comets passed through Uranus's activity sphere, none of the Kreutz comets approach Uranus closer than 11 AU, and only two short-period comets, C/2006 U7 and C/2006 F2, could have a close approach to Uranus during 5000 years. © 2012 Allerton Press, Inc.