论文标题
跳转扩散近似的价格动态，完全依赖的限制订单簿模型
Jump diffusion approximation for the price dynamics of a fully state dependent limit order book model
论文作者
论文摘要
我们研究了一个微观限制顺序簿模型，其中阶动力学取决于当前的最佳出价和询问价格以及当前的体积密度函数，并得出其宏观高频动力学。与现有的有关限制订单账簿模型缩放限制的文献相反，我们包括价格变化，这些变化与我们的模型中的刻度大小相比，以说明大型价格变动，例如是由高度无法预料的事件触发的。我们的主要结果指出，当单个限制顺序和刻度大小的大小趋于零时，而到达速度趋于无穷大，微观限制订单订单模型动力学会收敛到两个一维跳跃扩散过程，描述了两个无限型二光流体过程，这些二级二光流体过程描述了买入和销售侧面。
We study a microscopic limit order book model, in which the order dynamics depend on the current best bid and ask price and the current volume density functions, simultaneously, and derive its macroscopic high-frequency dynamics. As opposed to the existing literature on scaling limits for limit order book models, we include price changes which do not scale with the tick size in our model to account for large price movement, being for example triggered by highly unforeseen events. Our main result states that, when the size of an individual limit order and the tick size tend to zero while the order arrival rate tends to infinity, the microscopic limit order book model dynamics converge to two one-dimensional jump diffusion processes describing the prices coupled with two infinite dimensional fluid processes describing the standing volumes at the buy and sell side.
