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Conditional Distribution of the Limit Order Book Given the History of the Best Quote Process

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  • Martin Smid

    (UTIA AV CR)

Abstract

Recently, models of limit order markets, particularly those of the continuous double auction, are subject to an intense research. Due to their complexity, the models are regarded to be analytically intractable. In the present paper, nonetheless, a closed form result is derived: the conditional distribution of the limit order book given the history of the best quote process.

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File URL: http://128.118.178.162/eps/em/papers/0503/0503015.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0503015.

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Length: 20 pages
Date of creation: 13 Mar 2005
Date of revision: 22 Mar 2005
Handle: RePEc:wpa:wuwpem:0503015

Note: Type of Document - pdf; pages: 20
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Web page: http://128.118.178.162

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Keywords: limit order markets; continuous double auction; limit order book; conditional distribution; immigration-death process;

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  1. Eric Smith & J Doyne Farmer & Laszlo Gillemot & Supriya Krishnamurthy, 2003. "Statistical theory of the continuous double auction," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 481-514.
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