Related papers: Order book dynamics in liquid markets: limit theor…
We present a dynamic model in which the weights are conditioned on an input sample x and are learned to match those that would be obtained by finetuning a base model on x and its label y. This mapping between an input sample and network…
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
In this research, we develop a trading strategy for the discrete-time optimal liquidation problem of large order trading with different market microstructures in an illiquid market. In this framework, the flow of orders can be viewed as a…
We derive the hydrodynamic limit of a kinetic equation where the interactions in velocity are modelled by a linear operator (Fokker-Planck or Linear Boltzmann) and the force in the Vlasov term is a stochastic process with high amplitude and…
This paper presents a novel model for simulating and analyzing sparse limit order books (LOBs), with a specific application to the European intraday electricity market. In illiquid markets, characterized by significant gaps between order…
Currently, there is no general theory for deriving diffusion approximations of queueing systems with high- or infinite-dimensional state descriptors. In this paper, we explore one path for deriving diffusion limit equations of queueing…
Many commonly used liquidity measures are based on snapshots of the state of the limit order book (LOB) and can thus only provide information about instantaneous liquidity, and not regarding the local liquidity regime. However, trading in…
There is a widespread recent interest in using ideas from statistical physics to model certain types of problems in economics and finance. The main idea is to derive the macroscopic behavior of the market from the random local interactions…
We introduce a prototype model in an attempt to capture some aspects of market dynamics simulating a trading mechanism. The model description starts with a discrete-space, continuous-time Markov process describing arrival and movement of…
Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a…
Consider an interacting particle system indexed by the vertices of a (possibly random) locally finite graph whose vertices and edges are equipped with marks representing parameters of the model such as the environment and initial…
A quantitatively reliable theoretical description of the dynamics of fluctuations in non-equilibrium is indispensable in the experimental search for the QCD critical point by means of ultra-relativistic heavy-ion collisions. In this work we…
In this research, we have empirically investigated the key drivers affecting liquidity in equity markets. We illustrated how theoretical models, such as Kyle's model, of agents' interplay in the financial markets, are aligned with the…
Random metastability occurs when an externally forced or noisy system possesses more than one state of apparent equilibrium. This work investigates fluctuations in a class of random dynamical systems, arising from randomly perturbing a…
We introduce and treat rigorously a new multi-agent model of the continuous double auction or in other words the order book (OB). It is designed to explain collective behaviour of the market when new information affecting the market…
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…
With the fragmentation of electronic markets, exchanges are now competing in order to attract trading activity on their platform. Consequently, they developed several regulatory tools to control liquidity provision / consumption on their…
We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored orders (granularity $g$) as a proxy for liquidity. This leads to…
A novel probabilistic framework for modelling anomalous diffusion is presented. The resulting process is Markovian, non-homogeneous, non-stationary, non-ergodic, and state-dependent. The fundamental law governing this process is driven by…