英文标题：
《Dynamics of Order Positions and Related Queues in a Limit Order Book》
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作者：
Xin Guo, Zhao Ruan, Lingjiong Zhu
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最新提交年份：
2015
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英文摘要：
Order positions are key variables in algorithmic trading. This paper studies the limiting behavior of order positions and related queues in a limit order book. In addition to the fluid and diffusion limits for the processes, fluctuations of order positions and related queues around their fluid limits are analyzed. As a corollary, explicit analytical expressions for various quantities of interests in a limit order book are derived.
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中文摘要：
订单头寸是算法交易中的关键变量。本文研究了限价订单簿中订单位置和相关队列的限价行为。除了过程的流体和扩散极限外，还分析了顺序位置的波动及其流体极限周围的相关队列。作为推论，推导出了极限订货簿中各种利益量的显式解析表达式。
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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：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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