13-APR-2026
We present a simulation framework for limit order book (LOB) dynamics based on the Five-Type Queue-Reactive (FTQR) model coupled with multivariate Hawkes processes. The five event types — limit bid arrivals ($\lambda_b$), limit ask arrivals ($\lambda_a$), bid cancellations ($\theta_b$), ask cancellations ($\theta_a$), and market order arrivals ($\mu$) — are modelled with state-dependent intensities $a_i \, q^{\beta}$ that scale with queue size $q_b$ or $q_a$, with short-term temporal clustering captured by exponential Hawkes kernels. Price is emergent: the mid-price moves only when a best-queue is depleted below a depletion threshold, never by direct prescription. We demonstrate via simulation that the model reproduces key microstructural stylized facts including queue size mean-reversion, bid-ask asymmetry, and clustered price moves, providing a tractable foundation for reversal signal detection in liquid futures markets.
🔒 Access restricted