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摘要翻译：
在高频交易中，能够推迟执行而不受惩罚提供了一个重要的战略优势。为了说明交易者之间的竞争，我们必须从市场预期和报价中形成执行价格的数量理论。这一理论于2005年由福柯、卡丹和坎德尔提供。利用动态版本的Foucault，Kadan和Kandel动态限价订单书(LOB)模型，导出了作为耐心交易者和不耐烦交易者比率函数的出价/报价的渐近分布。LOB模型的动态版本允许交易市场的程式化但足够真实的表示。特别是，动态LOB允许模拟执行时间的分布和高频报价的价差。在将交易理解为交易者之间对执行的即时性的竞争方面取得了重大的分析进展。结果与高流动性股票的经验量价分布进行了定性比较。
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英文标题：
《Patience vs. Impatience of Stock Traders》
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作者：
Peter Lerner
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最新提交年份：
2014
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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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英文摘要：
An ability to postpone one's execution without penalty provides an important strategic advantage in high-frequency trading. To elucidate competition between traders one has to formulate to a quantitative theory of formation of the execution price from market expectations and quotes. This theory was provided in 2005 by Foucault, Kadan and Kandel. I derive asymptotic distribution of the bids/offers as a function of the ratio of patient and impatient traders using the dynamic version of the Foucault, Kadan and Kandel dynamic Limit Order Book (LOB) model. Dynamic version of the LOB model allows stylized but sufficiently realistic representation of the trading markets. In particular, dynamic LOB allows simulation of the distribution of execution times and spreads from high-frequency quotes. Significant analytic progress is made towards understanding of trading as competition for immediacy of execution between traders. The results are qualitatively compared with empirical volume-at-price distribution of highly liquid stocks.
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PDF链接：
https://arxiv.org/pdf/1204.1410
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