Related papers: Why is order flow so persistent?
Order flow imbalance can explain short-term changes in stock price. This paper considers the change of non-minimum quotation units in real transactions, and proposes a generalized order flow imbalance construction method to improve Order…
Electronic markets generate dense order flow with many transient orders, which degrade directional signals derived from the limit order book (LOB). We study whether simple structural filters on order lifetime, modification count, and…
Financial markets display scale-free behavior in many different aspects. The power-law behavior of part of the distribution of individual wealth has been recognized by Pareto as early as the nineteenth century. Heavy-tailed and scale-free…
How information transmits through prices -- and why this transmission breaks down -- remains poorly understood. We combine regularized deconvolution with Hawkes process analysis to study the impulse response structure of investor flows in…
Financial price changes obey two universal properties: they follow a power law and they tend to be clustered in time. The second regularity, known as volatility clustering, entails some predictability in the price changes: while their sign…
Sequential auctions for identical items with unit-demand, private-value buyers are common and often occur periodically without end, as new bidders replace departing ones. We model bidder uncertainty by introducing a probability that a…
This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship…
We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which is the centralized order book market of London Stock…
This paper explores the bifurcative dynamics of an artificial stock market exchange (ASME) with endogenous, myopic traders interacting through a limit order book (LOB). We showed that agent-based price dynamics possess intrinsic…
We study the multi-level order-flow imbalance (MLOFI), which is a vector quantity that measures the net flow of buy and sell orders at different price levels in a limit order book (LOB). Using a recent, high-quality data set for 6 liquid…
We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique process the duration of the transaction and the…
Organizations continuously accumulate data, often according to some business processes. If one poses a query over such data for decision support, it is important to know whether the query is stable, that is, whether the answers will stay…
In this work we investigate tick-by-tick data provided by the TRTH database for several stocks on three different exchanges (Paris - Euronext, London and Frankfurt - Deutsche B\"orse) and on a 5-year span. We use a simple algorithm that…
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading…
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…
A successive vertex ordering of a graph is a linear ordering of its vertices in which every vertex except the first has at least one neighbour appearing earlier. Such orderings arise naturally in incremental growth and…
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and…
Using frequency distributions of daily closing price time series of several financial market indexes, we investigate whether the bias away from an equiprobable sequence distribution found in the data, predicted by algorithmic information…
Fish, birds, insects and robots frequently swim or fly in groups. During their 3 dimensional collective motion, these agents do not stop, they avoid collisions by strong short-range repulsion, and achieve group cohesion by weak long-range…
We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large time scales (15 minutes) large price fluctuations are…