Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization by Xin Guo & Tze Leung Lai & Howard Shek & Samuel Po-Shing Wong

Author:Xin Guo & Tze Leung Lai & Howard Shek & Samuel Po-Shing Wong [Guo, Xin]
Language: eng
Format: azw3
Publisher: CRC Press
Published: 2017-01-05T16:00:00+00:00

Guo et al. likewise define as the change in type-j (j = 1, . . . , 6) queue size caused by the ith order. Note that only one component of is positive and all other components are 0. Letting Ti be the inter-arrival time between the ith and the (i − 1)th orders, define

Whereas (5.9) is the renewal process of the inter-depletion durations τi, (5.13) is the renewal process of the inter-arrival times Ti.

Define the scaled net order flow process by

and define the scaled order position Zn(t), the scaled queue length for the best bid queue, and for the best ask queue by

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