The shaping of a limit order book illustrates the dynamics of the trading process,the changing pattern of the execution probability of limit orders therefore plays an important role.This paper presents a computable ex...The shaping of a limit order book illustrates the dynamics of the trading process,the changing pattern of the execution probability of limit orders therefore plays an important role.This paper presents a computable execution probability model for limit order market,as well as a numerical example that intuitively characterizes the changing pattern of the execution probability.The common effects of the lengths of both buy and sell queues on the execution probability are explored.In the limit book,the cumulative probability of limit orders is introduced as a crucial index of market depth to describe the shaping process which brings new insights into the structure of the order placement decision.展开更多
基金supported by the National Natural Science Foundation of China under Grant Nos.71371024and 71771008the Funds for the First-Class Discipline Construction under Grant No.XK1802-5the Fundamental Research Funds for the Central University under Grant Nos.PTRW1808 and YWF-19-BJ-W-45。
文摘The shaping of a limit order book illustrates the dynamics of the trading process,the changing pattern of the execution probability of limit orders therefore plays an important role.This paper presents a computable execution probability model for limit order market,as well as a numerical example that intuitively characterizes the changing pattern of the execution probability.The common effects of the lengths of both buy and sell queues on the execution probability are explored.In the limit book,the cumulative probability of limit orders is introduced as a crucial index of market depth to describe the shaping process which brings new insights into the structure of the order placement decision.
