A level-1 limit order book with time dependent arrival rates
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Date
2019
Authors
Chávez Casillas, J.A.
Elliott, R.J.
Rémillard, B.
Swishchuk, A.V.
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Methodology and Computing in Applied Probability, 2019; 21(3):699-719
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We propose a simple stochastic model for the dynamics of a limit order book, extending the recent work of Cont and de Larrard (SIAM J Financial Math 4(1), 1–25 2013), where the price dynamics are endogenous, resulting from market transactions. We also show that the conditional diffusion limit of the price process is the so-called Brownian meander.
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Copyright 2019 Springer Science+Business Media, LLC, part of Springer Nature
Access Condition Notes: Accepted manuscript available after 1 July 2020