A level-1 Limit Order book with time dependent arrival rates

Jonathan A. Ch\'avez-Casillas, Robert J. Elliott, Bruno R\'emillard and Anatoliy V. Swishchuk

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Abstract: We propose a simple stochastic model for the dynamics of a limit order book, extending the recent work of Cont and de Larrard (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.

Date: 2017-04
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