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  5. Dynamics of Order Positions in A Limit Order Book

Dynamics of Order Positions in A Limit Order Book

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：qg20090908
【摘 要】
：
　　The dynamics of an order position in a LOB is a critical yet missing piece when modeling the LOB and dealing with the inventory/execution risk with consider
【作 者】
：
Ruan Zhao 
【机 构】
：
Univ.of California,Berkeley
【出 处】
：
第八届工业与应用数学国际大会
【发表日期】
：
2015年期
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论文部分内容阅读
　　The dynamics of an order position in a LOB is a critical yet missing piece when modeling the LOB and dealing with the inventory/execution risk with consideration of microstructure of the LOB.
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