Dynamics of Order Positions and Related Queues in a Limit Order Book
arXiv:1505.04810
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.
42 pages, 2 figures