A Few Simulation Results of Basic Models of Limit Order Books

Abstract : 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.
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https://hal.archives-ouvertes.fr/hal-02184682
Contributor : Ioane Muni Toke <>
Submitted on : Tuesday, July 16, 2019 - 11:25:20 AM
Last modification on : Monday, September 16, 2019 - 10:37:06 AM

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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⟩

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