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Limiting Distribution for a Simple Model of Order Book Dynamics by Łukasz Kruk is a Mathematics article available to read on EtoBox.
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## Abstract 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.
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It is typically read by researchers, students, and practitioners in Mathematics.
- Author
- Łukasz Kruk
- Publisher
- Walter de Gruyter GmbH
- Published
- 2012
- Language
- EN
- Field
- Mathematics (Physical Sciences)