General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics

Anatoliy Swishchuk, Katharina Cera, Julia Schmidt and Tyler Hofmeister

Papers from arXiv.org

Abstract: The paper considers a general semi-Markov model for Limit Order Books with two states, which incorporates price changes that are not fixed to one tick. Furthermore, we introduce an even more general case of the semi-Markov model for LimitOrder Books that incorporates an arbitrary number of states for the price changes. For both cases the justifications, diffusion limits, implementations and numerical results are presented for different Limit Order Book data: Apple, Amazon, Google, Microsoft, Intel on 2012/06/21 and Cisco, Facebook, Intel, Liberty Global, Liberty Interactive, Microsoft, Vodafone from 2014/11/03 to 2014/11/07.

Date: 2016-08
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://arxiv.org/pdf/1608.05060 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1608.05060

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().