Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets
将多交易所电子限价订单簿市场建模为多类排队系统，发现投资者订单路由决策导致均衡时不同交易所的队列耦合，市场整体行为可由一维加权总队列长度刻画，且耦合的关键驱动力是预期延迟而非队列长度本身。
In modern equity markets, participants have a choice of many exchanges at which to trade, each of which typically operates as an electronic limit order book. This paper analyzes this setting as a multiclass queueing system. Taking into account the effect of investors’ order-routing decisions across exchanges, they find that the equilibrium of this decentralized market exhibits a state space collapse property, whereby the queues at different exchanges are coupled, and the overall behavior of the market is captured through a one-dimensional process that can be viewed as a weighted aggregate queue length across all exchanges. The key driver of this coupling phenomenon is anticipated delay as opposed to the queue lengths themselves.