A Few Simulation Results of Basic Models of Limit Order Books

Ioane Muni Toke (1)

1 MICS - Mathématiques et Informatique pour la Complexité et les Systèmes

We use a simplified framework for the modeling of limit order books, in which only the best quotes (prices and volumes) are monitored. Within this framework we test models in which the flows of limit and market orders are modeled by Poisson processes, Hawkes processes, or processes with state-dependent intensities. We provide simulation results to compare some distributions of interest, such as volumes, price, spread, autocorrelation of orders signs, etc.

Domaines: Finance quantitative [q-fin.CP]; Microstructure des marchés [q-fin.TR]

Ioane Muni Toke. A Few Simulation Results of Basic Models of Limit Order Books. New Perspectives and Challenges in Econophysics and Sociophysics, pp.35-48, 2019, ⟨10.1007/978-3-030-11364-3_3⟩. ⟨hal-02184682⟩