A Level-1 Limit Order Book with Time Dependent Arrival Rates
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DOI: 10.1007/s11009-019-09715-7
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… read more here.
Keywords: limit order; order book; level limit;