Dynamics of Order Positions and Related Queues in a Limit Order Book
Trading and Market Microstructure
2015-10-14 v2 Mathematical Finance
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.
Keywords
Cite
@article{arxiv.1505.04810,
title = {Dynamics of Order Positions and Related Queues in a Limit Order Book},
author = {Xin Guo and Zhao Ruan and Lingjiong Zhu},
journal= {arXiv preprint arXiv:1505.04810},
year = {2015}
}
Comments
42 pages, 2 figures