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Journal Article

Rigorous results for the Stigler-Luckock model for the evolution of an order book

Swart Jan M.

: Annals of Applied Probability vol.28, 3 (2018), p. 1491-1535

: GA16-15238S, GA ČR, GAP201/12/2613, GA ČR

: Continuous double auction, order book, rank-based Markov chain, self-organized criticality, Stigler-Luckock model, market microstructure

: 10.1214/17-AAP1336


(eng): In 1964, G. J. Stigler introduced a stochastic model for the evolution of an order book on a stock market. This model was independently rediscovered and generalized by H. Luckock in 2003. In his formulation, traders place buy and sell limit orders of unit size according to independent Poisson processes with possibly different intensities. Newly arriving buy (sell) orders are either immediately matched to the best available matching sell (buy) order or stay in the order book until a matching order arrives. Assuming stationarity, Luckock showed that the distribution functions of the best buy and sell order in the order book solve a differential equation, from which he was able to calculate the position of two prices Jc−

: BA

: 10101