Related papers: A simple model of a limit order book
A consistency criterion for price impact functions in limit order markets is proposed that prohibits chain arbitrage exploitation. Both the bid-ask spread and the feedback of sequential market orders of the same kind onto both sides of the…
In this work we present an extension of the technique of the order reduction to higher perturbative approximations in an iterative fashion. The intention is also to analyze more carefully the conditions for the validity of the order…
We propose a parametric model for the simulation of limit order books. We assume that limit orders, market orders and cancellations are submitted according to point processes with state-dependent intensities. We propose new functional forms…
In the supermarket model, there are $n$ queues, each with a single server. Customers arrive in a Poisson process with arrival rate $\lambda n$, where $\lambda = \lambda (n) \in (0,1)$. Upon arrival, a customer selects $d=d(n)$ servers…
The problem of appropriately matching items subject to compatibility constraints arises in a number of important applications. While most of the literature on matching theory focuses on a static setting with a fixed number of items, several…
An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its…
The notion of (auto) catalytic networks has become a cornerstone in understanding the possibility of a sudden dramatic increase of diversity in biological evolution as well as in the evolution of social and economical systems. Here we study…
We investigate whether the bid/ask queue imbalance in a limit order book (LOB) provides significant predictive power for the direction of the next mid-price movement. We consider this question both in the context of a simple binary…
The distribution of liquidity within the limit order book is essential for the impact of market orders on the stock price and the emergence of price shocks. Limit orders are characterized by stylized facts: The number of inserted limit…
The modeling of the limit order book is directly related to the assumptions on the behavior of real market participants. This paper is twofold. We first present empirical findings that lay the ground for two improvements to these models.The…
The optimal tradeoff between average service cost rate, average utility rate, and average delay is addressed for a state dependent M/M/1 queueing model, with controllable queue length dependent service rates and arrival rates. For a model…
Let $\{\zeta_{m,k}^{(\kappa)}(t), t \ge0\}, \kappa>0$ be random processes defined as the differences of two independent stationary chi-type processes with $m$ and $k$ degrees of freedom. In applications such as physical sciences and…
Statistical and dynamical characters of stock markets have been extensively studied, which now is providing the firm basis for econophysics and its application as ``stylized facts''. However, most of those studies are for markets under the…
We consider a dynamic market model of liquidity where unmatched buy and sell limit orders are stored in order books. The resulting net demand surface constitutes the sole input to the model. We prove that generically there is no arbitrage…
We study equilibria in two-buyer sequential second-price (or first-price) auctions for identical goods. Buyers have weakly decreasing incremental values, and we make a behavioural no-overbidding assumption: the buyers do not bid above their…
We introduce a multiclass single-server queueing system in which the arrival rates depend on the current job in service. The system is characterized by a matrix of arrival rates in lieu of a vector of arrival rates. Our proposed model…
This paper extends the incomplete model of Haile and Tamer (2003) from static English auctions to sequential English auctions. Because bidders may wait for future opportunities, the static condition that bidders do not let rivals win at…
We propose a method of classifying the operation of a system into finitely many modes. Each mode has its own objectives for the system's behaviour and its own mathematical models and algorithms designed to accomplish its objectives. A…
The properties of the first-order phase transition in a set of plasma models with common feature - absence of individual correlations between charges of op-posite sign, have been studied. Predicted discontinuities in equilibrium non-uniform…
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that liquidity tends todecrease with the amplitude of past…