Markov Model of Market; Dynamics and Stationary State

This work focuses on some simple models of limit order book dynamics which simulate market trading mechanisms. We start with a discrete time/space Markov process and then perform a re-scaling procedure leading to a deterministic dynamical system controlled by non-linear ODEs. This allows us to introduce approximants for the equilibrium distribution of the process represented by fixed points of deterministic dynamics. (joint work with Y. Suhov)