Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Ergodicity and diffusivity of Markovian order book models: a general
  framework   We present a general Markovian framework for order book modeling. Through our
approach, we aim at providing a tool enabling to get a better understanding of
the price formation process and of the link between microscopic and macroscopic
features of financial assets. To do so, we propose a new method of order book
representation, and decompose the problem of order book modeling into two
sub-problems: dynamics of a continuous-time double auction system with a fixed
reference price; interactions between the double auction system and the
reference price movements. State dependency is included in our framework by
allowing the order flow intensities to depend on the order book state.
Furthermore, contrary to most existing models, the impact of the order book
updates on the reference price dynamics is not assumed to be instantaneous. We
first prove that under general assumptions, our system is ergodic. Then we
deduce the convergence towards a Brownian motion of the rescaled price process.

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The categories of this paper are: patt-sol
32
The categories of this paper are: atom-ph
14
The categories of this paper are: math-ph
19
The categories of this paper are: eess
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The categories of this paper are: acc-phys
29
The categories of this paper are: funct-an
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The categories of this paper are: ao-sci
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The categories of this paper are: comp-gas
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The categories of this paper are: stat
6
The categories of this paper are: astro-ph
9
The categories of this paper are: nlin
13
The categories of this paper are: quant-ph
34
The categories of this paper are: chem-ph
10
The categories of this paper are: q-bio
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The categories of this paper are: q-alg
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The categories of this paper are: supr-con