Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Quasi-Centralized Limit Order Books   A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in
which financial institutions can only access the trading opportunities offered
by counterparties with whom they possess sufficient bilateral credit. We
perform an empirical analysis of a recent, high-quality data set from a large
electronic trading platform that utilizes QCLOBs to facilitate trade. We find
many significant differences between our results and those widely reported for
other LOBs. We also uncover a remarkable empirical universality: although the
distributions describing order flow and market state vary considerably across
days, a simple, linear rescaling causes them to collapse onto a single curve.
Motivated by this finding, we propose a semi-parametric model of order flow and
market state in a QCLOB on a single trading day. Our model provides similar
performance to that of parametric curve-fitting techniques, while being simpler
to compute and faster to implement.

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The categories of this paper are: plasm-ph
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The categories of this paper are: patt-sol
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The categories of this paper are: math-ph
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The categories of this paper are: econ
4
The categories of this paper are: cond-mat
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The categories of this paper are: solv-int
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The categories of this paper are: hep-th
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The categories of this paper are: quant-ph
0
The categories of this paper are: hep-ph
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The categories of this paper are: hep-ex
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The categories of this paper are: nucl-ex
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The categories of this paper are: atom-ph
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The categories of this paper are: q-alg
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The categories of this paper are: funct-an
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The categories of this paper are: hep-lat
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The categories of this paper are: ao-sci