Continuous-time Modeling of Bid-Ask Spread and Price Dynamics in Limit Order Books¶
Bibliographic record. Follow the original-source link for the publication.
| Field | Value |
|---|---|
| Primary domain | Unclassified |
| Other domains | — |
| Methods | — |
| Facets | — |
| Authors | Jose Blanchet, Xinyun Chen |
| Published | 2013-10-03 |
| Source | arXiv Quantitative Finance History |
| Identifiers | arxiv:1310.1103 |
| URL | Open original source |
Editorial synthesis¶
Why it matters¶
The study derives a joint continuous-time model of mid-price and bid-ask spread from multiscale limit-order-book dynamics, aiming to retain key price and liquidity behavior with a reduced set of book parameters. (abstract:S1, abstract:S2, abstract:S3)
Main author claims¶
- The authors model the limit order book as a multiclass queueing system and analyze an asymptotic regime motivated by empirical stylized facts. (
abstract:S2,abstract:S3) - The authors claim that the limiting process has reflecting behavior and state-dependent jumps and can explain selected statistical links among order-book volume tails, returns, and the long-run spread distribution. (
abstract:S4,abstract:S5)
Data, method, or discussion scope¶
The abstract covers the queueing representation, multiscale asymptotic derivation, dimensional-reduction claim, and spread/return features the model seeks to explain; it does not present empirical estimation results. (abstract:S1, abstract:S2, abstract:S3, abstract:S4, abstract:S5)
Main limitations¶
The conclusions depend on the stated asymptotic regime, while the material gives no dataset, parameter estimates, fit errors, or out-of-sample validation, leaving finite-sample applicability unresolved. (abstract:S2, abstract:S3, abstract:S5)
Relationships¶
- None recorded.