This paper proposes and studies an optimal placement problem in a limit order book. To gain some analytical insights, a simple correlated random walk model with mean-reversion is proposed for the best ask price. Optimal placement strategies for both single-period and multi-period cases are...

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...

Operable knowledge features are discovered which present a structure of knowledge which is independent of the specific meaning or use of knowledge. This discovery presents a completely new mathematically based concept of knowledge for different disciplines like economy, sociology, communication...