Simulation of a limit order driven market

Lorenz, Julian; Osterrieder, Jörg Robert (2008). Simulation of a limit order driven market The Journal Of Trading, 4(1), pp. 23-30. Portfolio Management Research 10.3905/JOT.2009.4.1.023

Full text not available from this repository. (Request a copy)

This article presents an order flow model framework for limit order driven markets. Different from previous models, the article explicitly models a reference price process that “sweeps” the limit order book as it fluctuates up and down. This framework allows the use of any stochastic process to model this reference price and very general specifications of the limit order flow. The authors believe that this framework can fruitfully combine order flow models with well-studied models for stock price processes and provides a step toward developing realistic yet tractable models for complex limit order driven markets. Public order data from SWX is used as an example to estimate the model parameters.

Item Type:	Journal Article (Original Article)
Division/Institute:	Business School > Institute for Applied Data Science & Finance > Finance, Accounting and Tax Business School
Name:	Lorenz, Julian and Osterrieder, Jörg Robert0000-0003-0189-8636
Subjects:	H Social Sciences > HG Finance
ISSN:	1559-3967
Publisher:	Portfolio Management Research
Language:	English
Submitter:	Jörg Robert Osterrieder
Date Deposited:	24 Aug 2022 08:59
Last Modified:	24 Aug 2022 08:59
Publisher DOI:	10.3905/JOT.2009.4.1.023
Uncontrolled Keywords:	Factor-based models, exchanges/markets/clearinghouses, equity portfolio management
URI:	https://arbor.bfh.ch/id/eprint/17398