英文标题：
《A Semi-Markovian Modeling of Limit Order Markets》
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作者：
Anatoliy Swishchuk and Nelson Vadori
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最新提交年份：
2016
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英文摘要：
R. Cont and A. de Larrard (SIAM J. Finan. Math, 2013) introduced a tractable stochastic model for the dynamics of a limit order book, computing various quantities of interest such as the probability of a price increase or the diffusion limit of the price process. As suggested by empirical observations, we extend their framework to 1) arbitrary distributions for book events inter-arrival times (possibly non-exponential) and 2) both the nature of a new book event and its corresponding inter-arrival time depend on the nature of the previous book event. We do so by resorting to Markov renewal processes to model the dynamics of the bid and ask queues. We keep analytical tractability via explicit expressions for the Laplace transforms of various quantities of interest. We justify and illustrate our approach by calibrating our model to the five stocks Amazon, Apple, Google, Intel and Microsoft on June 21^{st} 2012. As in R. Cont and A. de Larrard, the bid-ask spread remains constant equal to one tick, only the bid and ask queues are modeled (they are independent from each other and get reinitialized after a price change), and all orders have the same size.
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中文摘要：
R.Cont和A.de Larrard（SIAM J.Finan.Math，2013）为限价订单簿的动态引入了一个易于处理的随机模型，计算各种利息量，如价格上涨的概率或价格过程的扩散极限。正如经验观察所建议的，我们将其框架扩展到1）书籍事件到达时间（可能非指数）的任意分布，以及2）新书事件及其相应到达时间的性质都取决于前一本书事件的性质。为此，我们采用马尔可夫更新过程来模拟买卖队列的动态。我们通过各种感兴趣的拉普拉斯变换的显式表达式来保持分析的可处理性。我们在2012年6月21日将我们的模型校准为亚马逊、苹果、谷歌、英特尔和微软的五种股票，以此证明并说明我们的方法。与R.Cont和A.de Larrard一样，买卖价差保持不变，等于一个刻度，只对买卖队列进行建模（它们相互独立，在价格变化后重新初始化），所有订单的大小相同。
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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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