HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
2016 ◽
Vol 32
(1)
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pp. 96-125
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In this paper, we establish a fluid limit for a two-sided Markov order book model. The main result states that in a certain asymptotic regime, a pair of measure-valued processes representing the “sell-side shape” and “buy-side shape” of an order book converges to a pair of deterministic measure-valued processes in a certain sense. We also test the fluid approximation on data. The empirical results suggest that the approximation is reasonably good for liquidly traded stocks in certain time periods.
2012 ◽
Vol 17
(3)
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pp. 327-342
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1995 ◽
Vol 27
(01)
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pp. 273-292
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Keyword(s):
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2021 ◽
Vol 31
(2)
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pp. 1-26
2011 ◽
Vol 28
(03)
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pp. 401-417
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1998 ◽
Vol 02
(03)
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pp. 367-382
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