Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 19, 2017 erstellt
Description:
In this dissertation a simple model for limit order books is formulated. Assuming a discrete time model and an arrival process independent of each state, the limit order book is simulated with different distribution for prices, including uniform distribution and binomial distribution, and change value of the largest price N to estimate boundaries for the highest bid prices and the lowest ask price. When the process reaches a steady state, we assume convergent to the fixed distribution of the highest bid prices and of the lowest ask prices. Then we prove there exist deterministic constants kb and ka, when prices below (above)kb(ka), almost surely no bid (ask) limit order can be executed. Finally based on a uniform distribution we propose a model with abandonment means investors can cancel their order with certain probability, which widely applied in real financial markets