限价订单簿的时变马尔可夫模型
A time-dependent Markovian model of a limit order book
摘要：
本文考虑了利率与时间相关的限价订单簿的马尔可夫模型。为了理解订单簿的微观模型比常系数布朗运动收敛到更一般的扩散的机制，提出了一个简单的时间依赖模型.这里考虑的模型开始描述的过程，如限价订单，市价订单和取消不同的订单的到来。从这个意义上说，这是一个微观模型，而不是一个"中观“模型，在中观模型中，起点通常是描述价格变化发生时间的点过程，并在这些点过程中聚集与单个订单到达有关的所有信息。此外，进行了一些实证研究，以阐明建模假设的有效性，并验证某些股票是否满足其价格过程收敛到一个更复杂的扩散的条件。
英文摘要：
This paper considers a Markovian model of a limit order book where time-dependent rates are allowed. With the objective of understanding the mechanisms through which a microscopic model of an orderbook can converge to more general diffusion than a Brownian motion with constant coefficient, a simple time-dependent model is proposed. The model considered here starts by describing the processes that govern the arrival of the different orders such as limit orders, market orders and cancellations. In this sense, this is a microscopic model rather than a ``mesoscopic'' model where the starting point is usually the point processes describing the times at which the price changes occur and aggregate in these all the information pertaining to the arrival of individual orders. Furthermore, several empirical studies are performed to shed some light into the validity of the modeling assumptions and to verify whether certain stocks satisfy the conditions for their price process to converge to a more complex diffusion.
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