A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics


We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). Our model is flexible enough to allow for a dependence of the price dynamics on volumes. For the joint dynamics of best bid and ask... [ view full abstract ]


  1. Jinniao Qiu (University of Calgary)
  2. Christian Bayer (Weierstrass Institute)
  3. Ulrich Horst (Humboldt University Berlin)

Topic Areas

Limit-Order Books , Partial Differential Equations , Stochastic Analysis


WE-A-EM » Optimal Execution, and LOB Models (11:30 - Wednesday, 18th July, Emmet)

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