2017/04/21 by Chávez-Casillas, Jonathan A., Elliott, Robert J., Rémillard, Bruno +1
#Applications (stat.AP) #FOS: Computer and information sciences #FOS: Economics and business #Trading and Market Microstructure (q-fin.TR) #primary 91Gxx #secondary 60K20
paper · doi:10.48550/arxiv.1704.06572
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.