A Dynamic Model of the Limit Order Book
构建了一个连续时间模型，研究限价订单簿市场的价格形成机制。战略流动性交易者随机到达，在限价单和市价单之间动态选择，权衡执行价格与等待成本。模型解释了订单簿的驼峰形状及价格动态，对理解市场流动性有用。
I propose a continuous-time model of price formation in a market where trading is conducted according to a limit-order book. Strategic liquidity traders arrive randomly in the market and dynamically choose between limit and market orders, trading off execution price with waiting costs. I prove the existence of a Markov equilibrium in which the bid and ask prices depend only on the numbers of buy and sell orders in the book, and which can be characterized in closed-form in several cases of interest. My model generates empirically verified implications for the shape of the limit-order book and the dynamics of prices and trades. In particular, I show that buy and sell orders can cluster away from the bid-ask spread, thus generating a hump-shaped limit-order book. Also, following a market buy order, both the ask and bid prices increase, with the ask increasing more than the bid—hence the spread widens.