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摘要翻译：
这项工作的目的是了解订单驱动市场中限价订单书的动态。我们试图说明一个与限价指令市场微观结构相联系的动态交易机制。我们捕捉到了交易过程的迭代性质，这在买卖对的动力学以及不同交易者类型和他们的订单之间的切换规律中是至关重要的。一般而言，在引入原子交易方案之后，我们用组合和随机两种方法研究了一般的迭代交易过程，并给出了关于动态交易系统稳定性的一些结果。我们还研究了迭代交易系统中价差和中间价的受控动态，当价差和中间价的运动由买卖对的动态产生时，它们的运动被限制在一些极小的范围内。
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英文标题：
《Dynamical Trading Mechanism in Limit Order Markets》
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作者：
Shilei Wang
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最新提交年份：
2013
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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：
This work's purpose is to understand the dynamics of limit order books in order-driven markets. We try to illustrate a dynamical trading mechanism attached to the microstructure of limit order markets. We capture the iterative nature of trading processes, which is critical in the dynamics of bid-ask pairs and the switching laws between different traders' types and their orders. In general, after introducing the atomic trading scheme, we study a general iterated trading process in both combinatorial and stochastic ways, and state a few results on the stability of a dynamical trading system. We also study the controlled dynamics of the spread and the mid-price in an iterated trading system, when their movements, generated from the dynamics of bid-ask pairs, are assumed to be restricted within some extremely small ranges.
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PDF链接：
https://arxiv.org/pdf/1303.3133
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