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