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arXiv · 1102.1104

A non-linear model of limit order book dynamics

N Vvedenskaya·Y Suhov·V Belitsky
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Abstract

This paper focuses on some simple models of limit order book dynamics which simulate 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 process represented by fixed points of deterministic dynamics.

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N Vvedenskaya, Y Suhov, V Belitsky. 2011-02-05. A non-linear model of limit order book dynamics. https://arxiv.org/abs/1102.1104

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