• Corpus ID: 250280009

A cross-border market model with limited transmission capacities

  title={A cross-border market model with limited transmission capacities},
  author={Cassandra Milbradt and D{\"o}rte Kreher},
We develop a cross-border market model between two countries in which the transmission capacities that enable transactions between market participants of different countries are limited. Starting from two so-called reduced-form representations of national limit order book dynamics, we allow incoming market orders to be matched with standing volumes of the foreign market, resulting in cross-border trades. We introduce a microscopic model that consists of two bid and ask price processes, four… 

Parametric change point detection with random occurrence of the change point

This work focuses on change points in the “middle of the data” and assumes that the change point fraction converges weakly to a random variable λ ∗ which takes its values almost surely in a closed subset of (0 , 1) .