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
Subject:	Wertpapierhandel \| Securities trading \| Warteschlangentheorie \| Queueing theory \| Marktmikrostruktur \| Market microstructure

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