Conditional Distribution of the Limit Order Book Given the History of the Best Quote Process

Abstract

Recently, models of limit order markets, particularly those of the continuous double auction, are subject to an intense research. Due to their complexity, the models are regarded to be analytically intractable. In the present paper, nonetheless, a closed form result is derived: the conditional distribution of the limit order book given the history of the best quote process.limit order markets, continuous double auction, limit order book, conditional distribution, immigration-death process