限价订单簿中订单位置和相关队列的动态

ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2015-05-18 DOI:10.2139/ssrn.2607702

Xin Guo, Zhao Ruan, Lingjiong Zhu

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引用次数: 18

摘要

订单头寸是算法交易中的关键变量。研究了极限订单簿中订单位置和相关队列的极限行为。除了过程的流体和扩散极限外，还分析了顺序位置的波动以及围绕其流体极限的相关队列。作为推论，导出了限价订单簿中各种权益的显式解析表达式。

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Dynamics of Order Positions and Related Queues in a Limit Order Book

Order positions are key variables in algorithmic trading. This paper studies the limiting behavior of order positions and related queues in a limit order book. In addition to the fluid and diffusion limits for the processes, fluctuations of order positions and related queues around their fluid limits are analyzed. As a corollary, explicit analytical expressions for various quantities of interests in a limit order book are derived.

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ERN: Other Econometrics: Mathematical Methods & Programming (Topic)

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