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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Year of publication:	2015
Authors:	Guo, Xin
Other Persons:	Ruan, Zhao (contributor) ; Zhu, Lingjiong (contributor)
Publisher:	[2015]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (42 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 13, 2015 erstellt
Other identifiers:	10.2139/ssrn.2607702 [DOI]
Classification:	C00 - Mathematical and Quantitative Methods. General ; C60 - Mathematical Methods and Programming. General ; C69 - Mathematical Methods and Programming. Other ; N20 - Financial Markets and Institutions. General, International, or Comparative
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013022526