I want to simulate a limit order book. For this I want a statistical model to model arrival of orders in the exchange. I would be thankful if anyone can point me in direction of relevant literature.
Here are some classical papers:
Cont, Stoikov, Talreja: A stochastic model for order book dynamics, 2010 https://pubsonline.informs.org/doi/abs/10.1287/opre.1090.0780
Cont, Larrard (2013) Price dynamics in a Markovian limit order book market, SIAM Journal for Financial Mathematics, Vol 4, No 1, 1-25, 2013. https://epubs.siam.org/doi/abs/10.1137/110856605
Statistical Modeling of High Frequency Financial Data: Facts, Models and Challenges. IEEE Signal Processing, Volume 28 (2011). http://rama.cont.perso.math.cnrs.fr/pdf/IEEE2011.pdf