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

Xin Guo, Zhao Ruan and Lingjiong Zhu

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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.

Date: 2015-05, Revised 2015-10
New Economics Papers: this item is included in nep-fmk and nep-mst
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