A Level-1 Limit Order Book with Time Dependent Arrival Rates

Jonathan A. Chávez-Casillas (), Robert J. Elliott (), Bruno Rémillard () and Anatoliy V. Swishchuk ()
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Jonathan A. Chávez-Casillas: University of Rhode Island
Robert J. Elliott: University of Calgary
Bruno Rémillard: HEC Montréal
Anatoliy V. Swishchuk: University of Calgary

Methodology and Computing in Applied Probability, 2019, vol. 21, issue 3, 699-719

Abstract: 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 book; Inhomogeneous Poisson process; Brownian motion; Brownian meander; Primary 60G50; 60G52; Secondary 60F05; 91G80 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11009-019-09715-7

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