粒子生存模型与记录值过程的等价性及其在限制订单簿中的新应用

Q4 Decision Sciences

Journal of the Operations Research Society of Japan Pub Date : 2017-04-20 DOI:10.15807/JORSJ.60.101

H. Toyoizumi

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引用次数: 0

摘要

粒子生存模型最初是为了分析物种共存的动力学而提出的，但令人惊讶的是，它与非齐次泊松过程有关。众所周知，独立和同分布序列的连续记录值具有这种过程的空间分布。在本文中，我们证明了粒子生存模型和记录值过程确实是等价的。此外，我们研究了它们在确定在证券交易所限价订单簿上下销售订单的最佳策略方面的应用。我们的方法将限价单视为粒子，并假设其他交易员的智力为零。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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EQUIVALENCE OF PARTICLE SURVIVAL MODEL AND RECORD VALUE PROCESS, AND ITS NEW APPLICATION TO LIMIT ORDER BOOKS

The particle survival model, which was originally proposed to analyze the dynamics of species’ coexistence, has surprisingly found to be related to a non-homogeneous Poisson process. It is also well known that successive record values of independent and identically distributed sequences have the spatial distribution of such processes. In this paper, we show that the particle survival model and the record value process are indeed equivalent. Further, we study their application to determine the optimal strategy for placing selling orders on stock exchange limit order books. Our approach considers the limit orders as particles, and assumes that the other traders have zero intelligence.

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来源期刊

Journal of the Operations Research Society of Japan 管理科学-运筹学与管理科学

CiteScore

0.70

自引率

0.00%

发文量

审稿时长

12 months

期刊介绍： The journal publishes original work and quality reviews in the field of operations research and management science to OR practitioners and researchers in two substantive categories: operations research methods; applications and practices of operations research in industry, public sector, and all areas of science and engineering.