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.

MoreLess

Year of publication:	2005-03-13
Authors:	Smid, Martin
Institutions:	EconWPA
Subject:	limit order markets \| continuous double auction \| limit order book \| conditional distribution \| immigration-death process

More details

Extent:	application/pdf
Series:	Econometrics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 20 20 pages
Classification:	C51 - Model Construction and Estimation ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005556301