Limit order books and trade informativeness

One-level limit order books with sparsity and memory

Motivated by Cont and Larrard (2013)’s seminal Limit Order Book (LOB) model, we propose two continuous-time models for the level I of a LOB in which the arrivals of limit orders, market orders, and cancellations are assumed to be mutually independent, memoryless, and stationary, but, unlike the aforementioned paper, the proposed models also account for some of the sparsity and memory exhibited ...

Cancellation and Uncertainty Aversion on Limit Order Books

This paper models limit order books where each trader is uncertain of the underlying distribution in the asset’s value to others. If this uncertainty is rapidly resolved, fleeting limit orders are submitted and quickly cancelled. This enhances liquidity supply, but leaves intact established comparative statics results on spreads. However, risk neutral liquidity suppliers are averse to persisten...

Stochastic Models for Service Systems and Limit Order Books

Time Consistent Dynamic Limit Order Books Calibrated on Options

In an incomplete nancial market, the axiomatic of Time Consistent Pricing Procedure (TCPP), recently introduced, is used to assign to any nancial asset a dynamic limit order book, taking into account both the dynamics of basic assets and the limit order books for options. Kreps-Yan fundamental theorem is extended to that context. A characterization of TCPP calibrated on options is given in term...

Statistical Analysis of Markovian Queueing Models of Limit Order Books

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