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Dynamics of Order Positions and Related Queues in a Limit Order Book

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  • Xin Guo
  • Zhao Ruan
  • Lingjiong Zhu

Abstract

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.

Suggested Citation

  • Xin Guo & Zhao Ruan & Lingjiong Zhu, 2015. "Dynamics of Order Positions and Related Queues in a Limit Order Book," Papers 1505.04810, arXiv.org, revised Oct 2015.
    • Handle: RePEc:arx:papers:1505.04810
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    References listed on IDEAS

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    Cited by:

    1. Ulrich Horst & Dorte Kreher, 2017. "Second order approximations for limit order books," Papers 1708.07394, arXiv.org, revised Mar 2018.
    2. Ulrich Horst & Dörte Kreher, 2018. "Second order approximations for limit order books," Finance and Stochastics, Springer, vol. 22(4), pages 827-877, October.
    3. Federico Gonzalez & Mark Schervish, 2017. "Instantaneous order impact and high-frequency strategy optimization in limit order books," Papers 1707.01167, arXiv.org, revised Oct 2017.
    4. Horst, Ulrich & Kreher, Dörte, 2019. "A diffusion approximation for limit order book models," Stochastic Processes and their Applications, Elsevier, vol. 129(11), pages 4431-4479.
    5. Tzu-Wei Yang & Lingjiong Zhu, 2015. "A reduced-form model for level-1 limit order books," Papers 1508.07891, arXiv.org, revised Nov 2016.

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