Dynamic Order Dispersion and Volatility Persistence in a Simple Limit Order Book Model

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Dynamic Order Dispersion and Volatility Persistence in a Simple Limit Order Book Model

Andrew Hawley, Blake LeBaron, Mark Paddrik and Nathan Palmer

Journal of economic dynamics & control, p.105334

05/2026

DOI: https://doi.org/10.1016/j.jedc.2026.105334

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https://hdl.handle.net/10192/79854

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Title: Dynamic Order Dispersion and Volatility Persistence in a Simple Limit Order Book Model
Creators: Andrew Hawley
Blake LeBaron - Brandeis University
Mark Paddrik - Government of the United States of America
Nathan Palmer - Federal Reserve
Publication Details: Journal of economic dynamics & control, p.105334
Identifiers: 9924613971601921
Academic Unit: Brandeis International Business School
Language: English
Resource Type: Journal article