论文标题
关于二项式订单雪崩
On binomial order avalanches
论文作者
论文摘要
本文介绍了一个离散的限制订单簿模型，其中将新订单放置在中高价中的固定位移。此外，每当价格中期达到一定数量的价格水平时，就会发生贸易活动。因此，限制订单簿模型的动态导致了两种交易机制，即I型贸易和II型贸易。每当价格最高上涨时，就会发生I型交易，而如果价格下跌$μ$或更多，然后再次增加$μ$，则会发生II型交易。我们的重点主要放在订单雪崩长度的分布上，并且通过雪崩长度，我们考虑了一系列的订单执行，其中没有贸易事件的时间长度不能超过$ \ varepsilon $。
This paper introduces a discrete limit order book model where new orders are placed with a fixed displacement from the mid-price. Further, the trade event occurs whenever the mid-price hits the price level on which there is some volume. Therefore, the dynamics of the limit order book model leads to two trading mechanisms, namely Type I trade and Type II trade. A Type I trade takes place whenever the price maximum increases, while a Type II trade occurs if the price drops by $μ$ or more and then increases by $μ$ again. Our focus is mainly on the distribution of order avalanches length, and by an avalanche length we consider a series of order executions where the length of periods with no trade event cannot exceed $\varepsilon$.
