A continuous-time model for the limit order book dynamics is considered. The set of outstanding limit orders is modeled as a pair of random counting measures and the limiting distribution of this pair of measure-valued processes is obtained under suitable conditions on the model parameters. The limiting behavior of the bid-ask spread and the midpoint of the bid-ask interval are also characterized.
@article{bwmeta1.element.doi-10_2478_s11533-012-0098-3,
author = {\L ukasz Kruk},
title = {Limiting distribution for a simple model of order book dynamics},
journal = {Open Mathematics},
volume = {10},
year = {2012},
pages = {2283-2295},
zbl = {1282.91133},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_2478_s11533-012-0098-3}
}
Łukasz Kruk. Limiting distribution for a simple model of order book dynamics. Open Mathematics, Tome 10 (2012) pp. 2283-2295. http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_2478_s11533-012-0098-3/
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