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Stochastic Market Microstructure Models of Limit Order Books
Автор: INFORMS
Загружено: 2020-12-08
Просмотров: 24274
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Authors: Costis Maglaras, Columbia University; Rama Cont, University of Oxford
Many financial markets are operated as electronic limit order books (LOB). Over short time scales, seconds to minutes, LOBs can be best understood and modeled as stochastic dynamical systems, and, specifically, ones that exhibit interesting and relevant queueing phenomena. I will offer a brief overview of algorithmic trading in a limit order book, and highlight how queueing phenomena play an important role in trade execution, and as a consequence in market behavior.
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