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A Level-1 Limit Order Book with Time Dependent Arrival Rates |
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| Authors: | Chávez-Casillas Jonathan A Elliott Robert J Rémillard Bruno Swishchuk Anatoliy V |
| Institution: | 1.Department of Mathematics, University of Rhode Island, Kingston, RI, 02881, USA ;2.Haskayne School of Business, University of Calgary, Calgary, Canada ;3.Centre for Applied Financial Studies, University of South Australia, Adelaide, Australia ;4.GERAD, CRM, and Department of Decision Sciences, HEC Montréal, Montreal, Canada ;5.Department of Mathematics and Statistics, University of Calgary, Calgary, Canada ; |
| 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. |
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