Avellaneda, Marco; Reed, Josh; Stoikov, Sasha - In: Algorithmic Finance 1 (2011) 1, pp. 35-43
Bid and ask sizes at the top of the order book provide information on short-term price moves. Drawing from classical descriptions of the order book in terms of queues and order-arrival rates (Smith et al., 2003), we consider a diffusion model for the evolution of the best bid/ask queues. We...
