Title

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

Document Type

Article

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.

Publication Title

Methodology and Computing in Applied Probability

Volume

21

Issue

3

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