arXiv Open Access 2015

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

Xin Guo Zhao Ruan Lingjiong Zhu

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Abstrak

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.

Topik & Kata Kunci

q-fin.TR q-fin.MF

Penulis (3)

Xin Guo

Zhao Ruan

Lingjiong Zhu

Format Sitasi

APA MLA BibTeX

Guo, X., Ruan, Z., Zhu, L. (2015). Dynamics of Order Positions and Related Queues in a Limit Order Book. https://arxiv.org/abs/1505.04810

Akses Cepat

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Informasi Jurnal

Tahun Terbit: 2015
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓