A non-linear model of limit order book dynamics
Probability
2011-02-08 v1
Abstract
This paper focuses on some simple models of limit order book dynamics which simulate market trading mechanisms. We start with a discrete time/space Markov process and then perform a re-scaling procedure leading to a deterministic dynamical system controlled by non-linear ODEs. This allows us to introduce approximants for the equilibrium distribution of the process represented by fixed points of deterministic dynamics.
Cite
@article{arxiv.1102.1104,
title = {A non-linear model of limit order book dynamics},
author = {N Vvedenskaya and Y Suhov and V Belitsky},
journal= {arXiv preprint arXiv:1102.1104},
year = {2011}
}
Comments
5 pages