The order book as a queueing system: average depth and influence of the size of limit orders

DOI10.1080/14697688.2014.963654zbMath1398.91550arXiv1311.5661OpenAlexW3100636384MaRDI QIDQ4683096

Ioane Muni Toke

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.5661

zbMATH Keywords

microstructurequeueing systemslimit orderslimit order bookbirth-and-death processesmarket depthsize of limit orders

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Applications of branching processes (60J85) Portfolio theory (91G10)

Related Items (10)

Statistical inference for ergodic point processes and application to limit order book ⋮ A deep learning approach to estimating fill probabilities in a limit order book ⋮ Modelling intensities of order flows in a limit order book ⋮ The role of volume in order book dynamics: a multivariate Hawkes process analysis ⋮ Rigorous results for the Stigler-Luckock model for the evolution of an order book ⋮ STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL ⋮ Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models ⋮ Clearing price distributions in call auctions ⋮ A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies ⋮ Confidence interval for correlation estimator between latent processes

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