General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics
Trading and Market Microstructure
2016-08-18 v1
Abstract
The paper considers a general semi-Markov model for Limit Order Books with two states, which incorporates price changes that are not fixed to one tick. Furthermore, we introduce an even more general case of the semi-Markov model for LimitOrder Books that incorporates an arbitrary number of states for the price changes. For both cases the justifications, diffusion limits, implementations and numerical results are presented for different Limit Order Book data: Apple, Amazon, Google, Microsoft, Intel on 2012/06/21 and Cisco, Facebook, Intel, Liberty Global, Liberty Interactive, Microsoft, Vodafone from 2014/11/03 to 2014/11/07.
Keywords
Cite
@article{arxiv.1608.05060,
title = {General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics},
author = {Anatoliy Swishchuk and Katharina Cera and Julia Schmidt and Tyler Hofmeister},
journal= {arXiv preprint arXiv:1608.05060},
year = {2016}
}
Comments
20 pages, 10 figures, 5 tables