Conservation Laws in a Limit Order Book (1910.09202v2)

Published 21 Oct 2019 in q-fin.TR

Abstract: We present a class of macroscopic models of the Limit Order Book to simulate the aggregate behaviour of market makers in response to trading flows. The resulting models are solved numerically and asymptotically, and a class of similarity solutions linked to order book formation and recovery is explored. The main result is that order book recovery from aggressive liquidity taking follows a simple $t^{1/3}$ scaling law.

Summary

We haven't generated a summary for this paper yet.

Whiteboard

Generate a whiteboard explanation of this paper.

Sign Up to Generate

Video Overview

Generate a video overview of this paper.

Sign Up to Generate

Paper Prompts

Sign up for free to create and run prompts on this paper using GPT-5.

Top Community Prompts

Explain it Like I'm 14

Practical Applications

Conceptual Simplification

Sign Up to Activate View All Prompts

Open Problems

We haven't generated a list of open problems mentioned in this paper yet.

Continue Learning

We haven't generated follow-up questions for this paper yet.

Authors (1)

Jan Rosenzweig

Collections

Sign up for free to add this paper to one or more collections.