Conditional Distribution of the Limit Order Book Given the History of the Best Quote Process
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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- Eric Smith & J. Doyne Farmer & Laszlo Gillemot & Supriya Krishnamurthy, 2002.
"Statistical theory of the continuous double auction,"
- 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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