A Few Simulation Results of Basic Models of Limit Order Books
We use a simplified framework for the modeling of limit order books, in which only the best quotes (prices and volumes) are monitored. Within this framework we test models in which the flows of limit and market orders are modeled by Poisson processes, Hawkes processes, or processes with state-dependent intensities. We provide simulation results to compare some distributions of interest, such as volumes, price, spread, autocorrelation of orders signs, etc.
The author thanks Nakahiro Yoshida for useful discussions.
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