{"title":"限价订单簿中订单位置和相关队列的动态","authors":"Xin Guo, Zhao Ruan, Lingjiong Zhu","doi":"10.2139/ssrn.2607702","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"59 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2015-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"18","resultStr":"{\"title\":\"Dynamics of Order Positions and Related Queues in a Limit Order Book\",\"authors\":\"Xin Guo, Zhao Ruan, Lingjiong Zhu\",\"doi\":\"10.2139/ssrn.2607702\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":365755,\"journal\":{\"name\":\"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)\",\"volume\":\"59 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2015-05-18\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"18\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2607702\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2607702","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.