A level-1 Limit Order book with time dependent arrival rates
Trading and Market Microstructure
2017-04-24 v1 Applications
Abstract
We propose a simple stochastic model for the dynamics of a limit order book, extending the recent work of Cont and de Larrard (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.
Cite
@article{arxiv.1704.06572,
title = {A level-1 Limit Order book with time dependent arrival rates},
author = {Jonathan A. Chávez-Casillas and Robert J. Elliott and Bruno Rémillard and Anatoliy V. Swishchuk},
journal= {arXiv preprint arXiv:1704.06572},
year = {2017}
}