Abstract
How much of the structure of a Limit Order Book (LOB) by only observing the bid/ask price dynamics? In this paper we provide a model which, surprisingly, allows us to recover with reasonable empirical accuracy the general profile of the LOB in the setting of some small-tick stocks. Our approach exploits the empirically observed multi-scale dynamics of the LOB and we also apply such multi-scale analysis to obtain a jump diffusion model which connects the distribution of jumps with the distribution of orders inside the LOB.
Authors
Jose Blanchet, Xinyun Chen, Yanan Pei
Publication date
2017/2/22
Journal
Preprint. Available at http://www. columbia. edu/∼ jb2814/papers/LOB_v1. pdf
