A Model for Queue Position Valuation in a Limit Order Book

Ciamac C. Moallemi, Kai Yuan · 2017 · Working paper (SSRN)

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Puts a value on queue position. On large-tick instruments, being early in the queue is worth a meaningful fraction of the spread.

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At a glance

Level: Advanced: Stochastic control, point processes, heavy econometrics or deep learning
Horizon: HFT
Data needed: L3/MBO (order-level) Set what data you have
Themes: Market making Order book models
Assets: Equities
Market: Global

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Cite

@misc{moallemi2017model,
  author = {Moallemi, Ciamac C. and Yuan, Kai},
  title = {{A Model for Queue Position Valuation in a Limit Order Book}},
  howpublished = {Working paper (SSRN)},
  year = {2017},
  doi = {10.2139/ssrn.2996221}
}

Moallemi, C. C., & Yuan, K. (2017). A Model for Queue Position Valuation in a Limit Order Book. Working paper (SSRN). https://doi.org/10.2139/ssrn.2996221