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q-fin.TR2026
A Finite Bid--Ask Spread from Replenishment Displaced from the Quote
Christopher Angstmann, Derick Diana, Tim Gebbie
We give a unified analytic account of a finite bid--ask spread in a two-field reaction--diffusion order book. The model retains separate bid and ask densities in operational time,…
q-fin.TR2024
Correlation emergence in two coupled simulated limit order books
Dominic Bauer, Derick Diana, Tim Gebbie
We use random walks to simulate the fluid limit of two coupled diffusive limit order books to model correlation emergence. The model implements the arrival, cancellation and diffus…