TY - GEN
T1 - A non-linear model of limit order book dynamics
AU - Vvedenskaya, N.
AU - Suhov, Y.
AU - Belitsky, V.
N1 - Copyright:
Copyright 2013 Elsevier B.V., All rights reserved.
PY - 2011
Y1 - 2011
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=80054819682&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=80054819682&partnerID=8YFLogxK
U2 - 10.1109/ISIT.2011.6033738
DO - 10.1109/ISIT.2011.6033738
M3 - Conference contribution
AN - SCOPUS:80054819682
SN - 9781457705953
T3 - IEEE International Symposium on Information Theory - Proceedings
SP - 1260
EP - 1262
BT - 2011 IEEE International Symposium on Information Theory Proceedings, ISIT 2011
T2 - 2011 IEEE International Symposium on Information Theory Proceedings, ISIT 2011
Y2 - 31 July 2011 through 5 August 2011
ER -