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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),… Click to show full abstract
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.
Keywords:
limit order;
order book;
level limit
Journal Title: Methodology and Computing in Applied Probability
Year Published: 2019
Link to full text (if available)
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Journal Title: Methodology and Computing in Applied Probability
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!