英文标题：
《A Functional Limit Theorem for Limit Order Books with State Dependent
Price Dynamics》
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作者：
Christian Bayer and Ulrich Horst and Jinniao Qiu
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最新提交年份：
2016
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英文摘要：
We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). Our model is flexible enough to allow for a dependence of the price dynamics on volumes. For the joint dynamics of best bid and ask prices and the standing buy and sell volume densities, we derive a functional limit theorem, which states that our LOB model converges in distribution to a fully coupled SDE-SPDE system when the order arrival rates tend to infinity and the impact of an individual order arrival on the book as well as the tick size tends to zero. The SDE describes the bid/ask price dynamics while the SPDE describes the volume dynamics.
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中文摘要：
我们考虑一个随机模型的动态双边限制订单簿（LOB）。我们的模型足够灵活，可以考虑价格动态对数量的依赖。对于最佳买入价和卖出价以及常备买入和卖出量密度的联合动力学，我们推导了一个函数极限定理，该定理表明，当订单到达率趋于无穷大，单个订单到达对账面的影响以及刻度大小趋于零时，我们的LOB模型在分布上收敛到一个完全耦合的SDE-SPDE系统。SDE描述了买入/卖出价格动态，而SPDE描述了成交量动态。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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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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