英文标题：
《A Markov model of a limit order book: thresholds, recurrence, and
trading strategies》
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作者：
Frank Kelly and Elena Yudovina
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最新提交年份：
2017
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英文摘要：
We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for the lowest ask, where the limiting distributions are confined between two thresholds. We make extensive use of fluid limits in order to establish recurrence properties of the model. We use the model to analyze various high-frequency trading strategies, and comment on the Nash equilibria that emerge between high-frequency traders when a market in continuous time is replaced by frequent batch auctions.
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中文摘要：
我们分析了在短时间尺度上的一个可处理的限价订单模型，其中的动态是由供需之间的随机波动驱动的。我们证明了最高出价和最低ask的极限分布的存在性，其中极限分布被限制在两个阈值之间。我们广泛使用流体极限来建立模型的递推性质。我们使用该模型分析了各种高频交易策略，并对高频交易者之间在连续时间的市场被频繁的批量拍卖所取代时出现的纳什均衡进行了评述。
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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：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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