Electronic foreign-exchange markets and passage events of independent subordinators

Electronic foreign-exchange markets and passage events of independent subordinators

Matthias Winkel

Source: J. Appl. Probab. Volume 42, Number 1 (2005), 138-152.

Abstract

We set up a model for electronic foreign-exchange markets, suggesting subordinators to represent sellers' and buyers' offers. Its analysis naturally leads to the study of level passage events. The classical level passage event concerns the joint law of the time, height, and jump size observed when a real-valued stochastic process first exceeds a given level h. We provide an up-to-date treatment in the case when this process is a subordinator, and extend these results to a multivariate setting.

First Page: Show

Primary Subjects: 60G51

Secondary Subjects: 91B70

Keywords: Subordinator; passage time; Poisson-point-process technique; bid curve; ask curve; foreign-exchange market model

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Links and Identifiers

Permanent link to this document: http://projecteuclid.org/euclid.jap/1110381376
Digital Object Identifier: doi:10.1239/jap/1110381376
Mathematical Reviews number (MathSciNet): MR2144899
Zentralblatt MATH identifier: 1078.60035

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