英文标题：
《Continuous-time Modeling of Bid-Ask Spread and Price Dynamics in Limit
Order Books》
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作者：
Jose Blanchet and Xinyun Chen
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最新提交年份：
2013
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英文摘要：
We derive a continuous time model for the joint evolution of the mid price and the bid-ask spread from a multiscale analysis of the whole limit order book (LOB) dynamics. We model the LOB as a multiclass queueing system and perform our asymptotic analysis using stylized features observed empirically. We argue that in the asymptotic regime supported by empirical observations the mid price and bid-ask-spread can be described using only certain parameters of the book (not the whole book itself). Our limit process is characterized by reflecting behavior and state-dependent jumps. Our analysis allows to explain certain characteristics observed in practice such as: the connection between power-law decaying tails in the volumes of the order book and the returns, as well as statistical properties of the long-run spread distribution.
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中文摘要：
通过对整个限价指令簿（LOB）动态的多尺度分析，我们导出了中间价和买卖价差联合演化的连续时间模型。我们将LOB建模为一个多类排队系统，并使用经验观察到的程式化特征进行渐近分析。我们认为，在经验观察支持的渐进机制下，中间价和买卖价差只能用书中的某些参数（而不是整本书本身）来描述。我们的极限过程的特点是反映行为和状态相关的跳跃。我们的分析可以解释在实践中观察到的某些特征，例如：订单量的幂律衰减尾与收益之间的联系，以及长期价差分布的统计特性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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