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Jump diffusion approximation for the price dynamics of a fully state dependent limit order book model
We study a microscopic limit order book model, in which the order dynamics depend on the current best bid and ask price and the current volume density functions, simultaneously, and derive its macroscopic high-frequency dynamics. As opposed to the existing literature on scaling limits for limit order book models, we include price changes which do not scale with the tick size in our model to account for large price movement, being for example triggered by highly unforeseen events. Our maindoi:10.48550/arxiv.2010.13497 fatcat:vu6uoy6hnrft7dd4ygbxfhdyum