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


  • Martin Smid

    (UTIA AV CR)


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.

Suggested Citation

  • Martin Smid, 2005. "Conditional Distribution of the Limit Order Book Given the History of the Best Quote Process," Econometrics 0503015, EconWPA, revised 02 May 2005.
  • Handle: RePEc:wpa:wuwpem:0503015
    Note: Type of Document - pdf; pages: 20

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    References listed on IDEAS

    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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    More about this item


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

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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