  Order book dynamics play an important role in both execution time and price
formation of orders in an exchange market. In this study, we aim to model the
limit order arrival rates in the vicinity of the best bid and the best ask
price levels. We use limit order book data for Garanti Bank, which is one of
the most traded stocks in Borsa Istanbul. In order to model the daily, weekly,
and monthly arrival of limit order quantities, three different discrete
probability distributions are tested: Geometric, Beta-Binomial and Discrete
Weibull. Additionally, two theoretical models, namely, Exponential and Power
law are also tested. We aim to model the arrival rates in the first fifteen bid
and ask price levels. We use L1 norms in order to calculate the goodness-of-fit
statistics. Furthermore, we examine the structure of weekly and monthly mean
cancellation rates in the first ten bid and ask price levels.
