Huang, He; Kercheval, Alec N. - In: Quantitative Finance 12 (2012) 4, pp. 547-557
We use a generalized birth--death stochastic process to model the high-frequency dynamics of the limit order book, and illustrate it using parameters estimated from Level II data for a stock on the London Stock Exchange. A new feature of this model is that limit orders are allowed to arrive in...