Conditional Distribution of the Limit Order Book Given the History of the Best Quote Process

Martin Smid ()

Econometrics from EconWPA

Abstract: Recently, models of limit order markets, particularly those of the continuous double auction, are subject to an intense research. Due to their complexity, the models are regarded to be analytically intractable. In the present paper, nonetheless, a closed form result is derived: the conditional distribution of the limit order book given the history of the best quote process.

Keywords: limit order markets; continuous double auction; limit order book; conditional distribution; immigration-death process (search for similar items in EconPapers)
JEL-codes: C51 G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
Date: 2005-03-13, Revised 2005-05-02
Note: Type of Document - pdf; pages: 20
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0503015

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