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

Author

Listed:
  • Jonathan A. Chávez-Casillas

    (University of Rhode Island)

  • Robert J. Elliott

    (University of Calgary
    University of South Australia)

  • Bruno Rémillard

    (HEC Montréal)

  • Anatoliy V. Swishchuk

    (University of Calgary)

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.

Suggested Citation

  • Jonathan A. Chávez-Casillas & Robert J. Elliott & Bruno Rémillard & Anatoliy V. Swishchuk, 2019. "A Level-1 Limit Order Book with Time Dependent Arrival Rates," Methodology and Computing in Applied Probability, Springer, vol. 21(3), pages 699-719, September.
    • Handle: RePEc:spr:metcap:v:21:y:2019:i:3:d:10.1007_s11009-019-09715-7
    DOI: 10.1007/s11009-019-09715-7
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    References listed on IDEAS

    as
    1. Eric Smith & J Doyne Farmer & Laszlo Gillemot & Supriya Krishnamurthy, 2003. "Statistical theory of the continuous double auction," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 481-514.
    2. Anatoliy Swishchuk & Katharina Cera & Julia Schmidt & Tyler Hofmeister, 2016. "General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics," Papers 1608.05060, arXiv.org.
    3. Rama Cont & Adrien de Larrard, 2013. "Price Dynamics in a Markovian Limit Order Market," Post-Print hal-00552252, HAL.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Anatoliy Swishchuk & Aiden Huffman, 2020. "General Compound Hawkes Processes in Limit Order Books," Risks, MDPI, vol. 8(1), pages 1-25, March.
    2. Qiyue He & Anatoliy Swishchuk, 2019. "Quantitative and Comparative Analyses of Limit Order Books with General Compound Hawkes Processes," Risks, MDPI, vol. 7(4), pages 1-21, November.

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