限价订单簿中不同价格水平限价订单的填充概率
Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows
AI总结：
本文提出了一种状态依赖随机框架，用于分析限价订单簿中不同价格水平订单的填充概率，并通过实证数据验证了模型的准确性。
摘要：
本文研究了在限价订单簿中不同价格水平放置的限价订单的填充概率。这些概率在执行优化中起着核心作用，因为限价订单并不保证被执行，本质上涉及执行成本和执行风险之间的权衡。我们在一个一般的状态依赖随机框架内对限价订单簿进行建模，将其动态表示为一组相互作用的排队系统集合，同时纳入关键的市场特征。在此框架内，我们推导出几个感兴趣的量的半解析表达式，包括中位价格变化的概率、最佳报价处订单的填充概率，以及在相反最佳报价移动之前在订单簿深处放置的订单的填充概率。虽然该框架可以扩展到更深层次的价格水平，但相应的填充概率通常可以忽略不计。我们通过使用真实外汇现货市场数据进行广泛的数值实验来验证所提出的模型。结果表明，该模型在捕捉订单簿动态方面保持了可操作性，并且推导出的表达式在估计填充概率方面具有良好的准确性。
英文摘要：
This paper studies the fill probabilities of limit orders placed at different price levels in a limit order book. These probabilities play a central role in execution optimization, as limit orders are not guaranteed to be executed and inherently involve a trade-off between execution cost and execution risk. We model the limit order book within a general state-dependent stochastic framework, representing its dynamics as a collection of interacting queuing systems while incorporating key stylized market features. Within this framework, we derive semi-analytical expressions for several quantities of interest under state-dependent order flows, including the probability of a mid-price change, the fill probabilities of orders placed at the best quotes, and those of orders placed deeper in the book before the opposite best quote moves. While the framework can be extended to even deeper price levels, the corresponding fill probabilities are typically negligible. We validate the proposed model through extensive numerical experiments using real foreign exchange spot market data. The results demonstrate that the model remains tractable while capturing essential order book dynamics, and that the derived expressions achieve good accuracy in estimating fill probabilities.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
