英文标题：
《Stationary distribution of the volume at the best quote in a Poisson
order book model》
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作者：
Ioane Muni Toke
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最新提交年份：
2015
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英文摘要：
In this paper, we develop a Markovian model that deals with the volume offered at the best quote of an electronic order book. The volume of the first limit is a stochastic process whose paths are periodically interrupted and reset to a new value, either by a new limit order submitted inside the spread or by a market order that removes the first limit. Using applied probability results on killing and resurrecting Markov processes, we derive the stationary distribution of the volume offered at the best quote. All proposed models are empirically fitted and compared, stressing the importance of the proposed mechanisms.
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中文摘要：
在本文中，我们开发了一个马尔可夫模型，该模型处理电子订单的最佳报价量。第一个限额的交易量是一个随机过程，其路径会定期中断，并通过价差内提交的新限额指令或取消第一个限额的市场指令重置为新值。利用关于杀死和复活马尔可夫过程的应用概率结果，我们导出了在最佳报价下提供的数量的平稳分布。所有提出的模型都经过经验拟合和比较，强调了提出的机制的重要性。
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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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