GSP-2, Leninskie Gory
Moscow, 119992
Russia
Moscow State University
financial markets; limit order book; order flow; number of orders imbalance; order flow imbalance; doubly stochastic Poisson processes; Cox processes; variance-mean mixture; normal mixture; separation of mixtures; two-sided risk process; generalized hyperbolic distribution; generalized inverse
financial markets; limit order book; price discovery; number of orders imbalance; order flow imbalance; doubly stochastic Poisson processes; Cox processes; variance-mean mixture; normal mixture; two-sided risk process; L´evy process; generalized hyperbolic L´evy process; generalized inverse Gaussian
birth and death process, weak ergodicity, truncation, forward Kolmogorov system, nonstationary Markovian queueing models.
random sequence, random index, transfer theorem, samples with random sizes, normal variance-mean mixture
random sequence; random index; transfer theorem; random sum; random Lindeberg condition; normal variance-mean mixture
continuous-time Markov chains, inhomogeneous Markov chains, ergodicity bounds, special norms.
