英文标题：
《One-level limit order book models with memory and variable spread》
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作者：
Jonathan A. Ch\\\'avez-Casillas and Jos\\\'e E. Figueroa-L\\\'opez
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最新提交年份：
2016
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英文摘要：
We propose a new model for the level I of a Limit Order Book (LOB), which incorporates the information about the standing orders at the opposite side of the book after each price change and the arrivals of new orders within the spread. Our main result gives a diffusion approximation for the mid-price process. To illustrate the applicability of the considered framework, we also propose a feasible method to compute several quantities of interest}, such as the distribution of the time span between price changes and the probability of consecutive price increments conditioned on the current state of the book. The proposed method is used to develop an efficient simulation scheme for the price dynamics, which is then applied to assess numerically the accuracy of the diffusion approximation.
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中文摘要：
我们提出了一个新的限价订单簿（LOB）的一级模型，该模型包含了每次价格变化后，该账簿另一侧的常备订单信息以及价差内新订单的到达。我们的主要结果给出了中间价格过程的扩散近似。为了说明所考虑的框架的适用性，我们还提出了一种可行的方法来计算多个感兴趣的量，例如价格变化之间的时间跨度的分布，以及以书籍当前状态为条件的连续价格增量的概率。所提出的方法用于开发一种有效的价格动态模拟方案，然后应用该方案对扩散近似的精度进行数值评估。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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