Limiting distribution for a simple model of order book dynamics

Łukasz Kruk
2012 Open Mathematics  
AbstractA 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.
doi:10.2478/s11533-012-0098-3 fatcat:6jbtrjm7jbfdpfyqzujxcnbb3a