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Order book dynamics play an important role in both execution time and priceformation of orders in an exchange market. In this study, we aim to model thelimit order arrival rates in the vicinity of the best bid and the best askprice levels. We use limit order book data for Garanti Bank, which is one ofthe most traded stocks in Borsa Istanbul. In order to model the daily, weekly,and monthly arrival of limit order quantities, three different discreteprobability distributions are tested: Geometric, Beta-Binomial and DiscreteWeibull. Additionally, two theoretical models, namely, Exponential and Powerlaw are also tested. We aim to model the arrival rates in the first fifteen bidand ask price levels. We use L1 norms in order to calculate the goodness-of-fitstatistics. Furthermore, we examine the structure of weekly and monthly meancancellation rates in the first ten bid and ask price levels.

An Empirical Study on Arrival Rates of Limit Orders and Order Cancellation Rates in Borsa Istanbul