Title :
A non-linear model of limit order book dynamics
Author :
Vvedenskaya, N. ; Suhov, Y. ; Belitsky, V.
Author_Institution :
Inst. for Inf. Transm. Problems, RAS, Moscow, Russia
fDate :
July 31 2011-Aug. 5 2011
Abstract :
This paper introduces a prototype model in an attempt to capture some aspects of limit order book dynamics simulating market trading mechanisms. We start with a discrete time/space Markov process and then perform a re-scaling procedure leading to a deterministic dynamical system controlled by non-linear ODEs. This allows us to introduce approximants for the equilibrium distribution of the model represented by fixed points of deterministic dynamics.
Keywords :
Markov processes; differential equations; stock markets; deterministic dynamical system; discrete time-space Markov process; equilibrium distribution; limit order book dynamics; market trading mechanisms; nonlinear ODE; nonlinear model; rescaling procedure; Approximation methods; Limiting; Markov processes; Mathematical model; Prototypes; Zinc;
Conference_Titel :
Information Theory Proceedings (ISIT), 2011 IEEE International Symposium on
Conference_Location :
St. Petersburg
Print_ISBN :
978-1-4577-0596-0
Electronic_ISBN :
2157-8095
DOI :
10.1109/ISIT.2011.6033738
