Random measures are used to describe the evolution of the limit order book. A new model for limit order arrival is proposed which enables us to construct a model of the order book. Our model is flexible enough to be fitted to empirical observations. It turns out that the limit order book will be...

This paper studies a dynamic market microstructure model in which a strategic market maker competes with an informed trader. We include the presence of noise traders and limit order traders in our setup. Our model is a N-period model. We give necessary and sufficient conditions for an...