We implemented a newly adapted queuing model to analyze a continuous double-auction trading system. In the trading system, traders have to decide if they want to get a good price or if they want a quick transaction. If we can calculate the execution probability, it will help with this decision....

This article introduces a new kind of order imbalance - limit order imbalance - in addition to the conventional order imbalance to explain the intraday stock returns. The conventional order imbalance together with our new order imbalance are shown to explain more than 90% of intraday returns of...