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Electronic Foreign-Exchange Markets and Passage Events of Independent Subordinators

Part of: Mathematical economics Stochastic processes

Published online by Cambridge University Press:  14 July 2016

Matthias Winkel
Matthias Winkel*
Affiliation:
University of Oxford
*
∗Postal address: Department of Statistics, University of Oxford, 1 South Parks Road, Oxford OX1 3TG, UK. Email address: winkel@stats.ox.ac.uk
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Abstract

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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.

Keywords

Subordinatorpassage timePoisson-point-process techniquebid curveask curveforeign-exchange market model

MSC classification

Secondary: 60G51: Processes with independent increments; L'evy processes 91B70: Stochastic models
Type
Research Papers
Information
Journal of Applied Probability , Volume 42 , Issue 1 , March 2005 , pp. 138 - 152
Copyright
© Applied Probability Trust 2005 

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