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A Few Simulation Results of Basic Models of Limit Order Books

  • Ioane Muni TokeEmail author
Chapter
Part of the New Economic Windows book series (NEW)

Abstract

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.

Notes

Acknowledgements

The author thanks Nakahiro Yoshida for useful discussions.

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Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  1. 1.Mathématiques et Informatique pour la Complexité et les Systèmes, CentraleSupélecUniversité Paris-SaclayGif-Sur-YvetteFrance

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