  The paper considers a general semi-Markov model for Limit Order Books with
two states, which incorporates price changes that are not fixed to one tick.
Furthermore, we introduce an even more general case of the semi-Markov model
for LimitOrder Books that incorporates an arbitrary number of states for the
price changes. For both cases the justifications, diffusion limits,
implementations and numerical results are presented for different Limit Order
Book data: Apple, Amazon, Google, Microsoft, Intel on 2012/06/21 and Cisco,
Facebook, Intel, Liberty Global, Liberty Interactive, Microsoft, Vodafone from
2014/11/03 to 2014/11/07.
