Dynamics of Order Positions and Related Queues in a Limit Order Book
42 Pages Posted: 20 May 2015 Last revised: 14 Oct 2015
Date Written: October 13, 2015
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.
Keywords: Limit Order Book, Order Position, Queue Length, Fluid Limit, Functional Central Limit Theorems, Large Deviations
JEL Classification: C00, C60, C69, N20
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