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

Authors

Jonathan A. Chávez-Casillas, University of Rhode Island
Robert J. Elliott, Haskayne School of Business
Bruno Rémillard, HEC Montréal
Anatoliy V. Swishchuk, University of Calgary

Document Type

Article

Date of Original Version

9-15-2019

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, e.g., Journal

Methodology and Computing in Applied Probability

Volume

21

Issue

3

Citation/Publisher Attribution

Chávez-Casillas, Jonathan A., Robert J. Elliott, Bruno Rémillard, and Anatoliy V. Swishchuk. "A Level-1 Limit Order Book with Time Dependent Arrival Rates." Methodology and Computing in Applied Probability 21, 3 (2019): 699-719. doi: 10.1007/s11009-019-09715-7.