Simulating and analyzing a sparse order book: an application to intraday electricity markets
针对欧洲日内电力市场这类流动性差、订单稀疏的市场，提出一种基于非齐次泊松过程的限价订单簿模型，模拟订单到达与撤销的间歇性特征，帮助市场参与者理解此类市场的微观结构行为。
This paper presents a novel model for simulating and analyzing sparse limit order books (LOBs), with a specific application to the European intraday electricity market. In illiquid markets, characterized by significant gaps between order levels due to sparse trading volumes, traditional LOB models often fall short. Our approach utilizes an inhomogeneous Poisson process to accurately capture the sporadic nature of order arrivals and cancellations on both the bid and ask sides of the book. By applying this model to the intraday electricity market, we gain insights into the unique microstructural behaviors and challenges of this dynamic trading environment. The results offer valuable implications for market participants, enhancing their understanding of LOB dynamics in illiquid markets. This work contributes to the broader field of market microstructure by providing a robust framework adaptable to various illiquid market settings beyond electricity trading.