英文标题：
《Trade arrival dynamics and quote imbalance in a limit order book》
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作者：
Alexander Lipton, Umberto Pesavento, Michael G Sotiropoulos
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最新提交年份：
2013
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英文摘要：
We examine the dynamics of the bid and ask queues of a limit order book and their relationship with the intensity of trade arrivals. In particular, we study the probability of price movements and trade arrivals as a function of the quote imbalance at the top of the limit order book. We propose a stochastic model in an attempt to capture the joint dynamics of the top of the book queues and the trading process, and describe a semi-analytic approach to calculate the relative probability of market events. We calibrate the model using historical market data and discuss the quality of fit and practical applications of the results.
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中文摘要：
我们研究了限价订单的买卖队列的动态及其与贸易到达强度的关系。特别是，我们研究了价格变动和贸易到达的概率，作为限额订单顶部报价不平衡的函数。我们提出了一个随机模型，试图捕捉顶部排队和交易过程的联合动态，并描述了一种半解析方法来计算市场事件的相对概率。我们使用历史市场数据对模型进行了校准，并讨论了拟合质量和结果的实际应用。
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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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