Related papers: Modelling Universal Order Book Dynamics in Bitcoin…
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We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…
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In this paper we consider classes of models that have been recently developed for quantitative finance that involve modelling a highly complex multivariate, multi-attribute stochastic process known as the Limit Order Book (LOB). The LOB is…
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The detection of outliers within cryptocurrency limit order books (LOBs) is of paramount importance for comprehending market dynamics, particularly in highly volatile and nascent regulatory environments. This study conducts a comprehensive…
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