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

Author

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

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.

Suggested Citation

  • Jonathan A. Ch'avez-Casillas & Robert J. Elliott & Bruno R'emillard & Anatoliy V. Swishchuk, 2017. "A level-1 Limit Order book with time dependent arrival rates," Papers 1704.06572, arXiv.org.
    • Handle: RePEc:arx:papers:1704.06572
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    File URL: http://arxiv.org/pdf/1704.06572
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    References listed on IDEAS

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    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.
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    Citations

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    Cited by:

    1. Qi Guo & Bruno Remillard & Anatoliy Swishchuk, 2020. "Multivariate General Compound Point Processes in Limit Order Books," Papers 2008.00124, arXiv.org.
    2. Anatoliy Swishchuk, 2021. "Modelling of Limit Order Books by General Compound Hawkes Processes with Implementations," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 399-428, March.
    3. Anatoliy Swishchuk & Aiden Huffman, 2018. "General Compound Hawkes Processes in Limit Order Books," Papers 1812.02298, arXiv.org.
    4. Anatoliy Swishchuk, 2017. "General Compound Hawkes Processes in Limit Order Books," Papers 1706.07459, arXiv.org, revised Jun 2017.

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