Related papers: A simple model of a limit order book
Using simple particle models of limit order markets, we argue that mid-term over-diffusive price behaviour is inherent to the very nature of these markets. Several rules for rate changes are considered. We obtain analytical results for…
One-dimensional model of a system where first-order phase transition occurs is examined in the present paper. It is shown that basic properties of the phenomenon, such as a well defined temperature of transition, are caused both by…
When an item goes out of stock, sales transaction data no longer reflect the original customer demand, since some customers leave with no purchase while others substitute alternative products for the one that was out of stock. Here we…
We study a single-server priority queue with a finite number of classes, in which the arrivals follow a fractional Poisson process of index $\alpha \in (0,1]$ and the service completions are triggered by an independent fractional Poisson…
We study the analytical properties of a one-side order book model in which the flows of limit and market orders are Poisson processes and the distribution of lifetimes of cancelled orders is exponential. Although simplistic, the model…
We consider a service system where agents (or, servers) are invited on-demand. Customers arrive as a Poisson process and join a customer queue. Customer service times are i.i.d. exponential. Agents' behavior is random in two respects.…
Infinitely many particles of two types ("plus" and "minus") jump randomly along the one-dimensional lattice $\mathbf{Z}_{\varepsilon}=\varepsilon\mathbf{Z}$. Annihillations occur when two particles of different time occupy the same site.…
We present a general framework for modelling the dynamics of limit order books, built on the combination of two modelling ingredients: the order flow, modelled as a general spatial point process, and market clearing, modelled via a…
We study a double-ended queue where buyers and sellers arrive to conduct trades. When there is a pair of buyer and seller in the system, they immediately transact a trade and leave. Thus there cannot be non-zero number of buyers and sellers…
We propose a unified mean-field framework that bridges the dynamics of informal financial markets and formal markets governed by Limit Order Books (LOBs). Both settings are modeled as interacting particle systems on a 1D price lattice, with…
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…
We define a stochastic model of a two-sided limit order book in terms of its key quantities \textit{best bid [ask] price} and the \textit{standing buy [sell] volume density}. For a simple scaling of the discreteness parameters, that keeps…
Ordered phases of matter, such as solids, ferromagnets, superfluids, or quantum topological order, typically only exist at low temperatures. Despite this conventional wisdom, we present explicit local models in which all such phases persist…
Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where, for some purposes, constraints imposed by market institutions dominate intelligent agent behavior. We use data…
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…
Motivated by emerging applications in online matching platforms and marketplaces, we study a matching queue. Customers and servers that arrive in a matching queue depart as soon as they are matched. While state-dependent control is an…
Conventional models of matching markets assume that monetary transfers can clear markets by compensating for utility differentials. However, empirical patterns show that such transfers often fail to close structural preference gaps. This…
In the domain of the so called Econophysics some attempts already have been made for applying the theory of Thermodynamics and Statistical Mechanics to economics and financial markets. In this paper a similar approach is made from a…
We propose a class of stochastic models for a dynamics of limit order book with different type of liquidities. Within this class of models we study the one where a spread decreases uniformly, belonging to the class of processes known as a…
We study a parsimonious but non-trivial model of the latent limit order book where orders get placed with a fixed displacement from a center price process, i.e.\ some process in-between best bid and best ask, and get executed whenever this…