arXiv q-fin· Riya Danait, Yuliana Zamora, Ioana Boier·· 13 hr agoAI Score54
Partial Identification of FIFO Passive Execution under Aggregated Order Books: Different Fill Outcomes from the Same Book
Same Book, Different Fills: Partial Identification of FIFO Execution from Aggregate Order Books
AI summary
This arXiv paper defines the recovery of tick-level queue history from aggregated L2 limit order book snapshots as a conditional partial identification problem. It constructs a path-preserving compiler that only varies among three cancellation allocation rules—front-of-queue, quantity-weighted random, and back-of-queue—while fixing the aggregated path, reconciled market removals, latent order partitioning, and new order arrivals.
Source:arXiv q-fin · arxiv.org
High-Frequency and Market MicrostructureBacktesting MethodsPaper Research#Papers / Research#High-Frequency / Market Microstructure#Backtesting#arXiv