英文标题：
《Hydrodynamic limit of order book dynamics》
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作者：
Xuefeng Gao and S.J. Deng
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最新提交年份：
2016
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英文摘要：
In this paper, we establish a fluid limit for a two--sided Markov order book model. Our main result states that in a certain asymptotic regime, a pair of measure-valued processes representing the \"sell-side shape\" and \"buy-side shape\" of an order book converges to a pair of deterministic measure-valued processes in a certain sense. We also test our fluid approximation on data. The empirical results suggest that the approximation is reasonably good for liquidly--traded stocks in certain time periods.
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中文摘要：
本文建立了一个双边马尔可夫订货本模型的流体极限。我们的主要结果表明，在一定的渐近区域内，代表订单的“卖方形状”和“买方形状”的一对测度值过程在一定意义上收敛于一对确定性测度值过程。我们还在数据上测试我们的流体近似。实证结果表明，对于特定时间段内流动交易的股票，这种近似是合理的。
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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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