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

Anatoliy Swishchuk, Katharina Cera, Julia Schmidt and Tyler Hofmeister

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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
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