2015/05/18 by Xin Guo, Guo, Xin, Zhao Ruan +3
Economics, Econometrics and Finance · Mathematics · #Economic theories and models #FOS: Economics and business #Mathematical Dynamics and Fractals #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR) #q-fin.MF #q-fin.TR
paper · pdf · doi:10.48550/arxiv.1505.04810
42 pages, 2 figures
openalex publication_date 2015/05/18 · arxiv created 2015/10/13 · arxiv updated 2015/10/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.