Related papers: A simple model of a limit order book
Despite the fact that an intraday market price distribution is not normal, the random walk model of price behaviour is as important for the understanding of basic principles of the market as the pendulum model is a starting point of many…
This paper introduces a new asymptotic regime for simplifying stochastic models having non-stationary effects, such as those that arise in the presence of time-of-day effects. This regime describes an operating environment within which the…
We consider multi-component matching systems in heavy traffic consisting of $K\geq 2$ distinct perishable components which arrive randomly over time at high speed at the assemble-to-order station, and they wait in their respective queues…
Phase reduction is a powerful technique in the study of nonlinear oscillatory systems. Under certain assumptions, it allows us to describe each multidimensional oscillator by a single phase variable, giving rise to simple phase models such…
We show that a certain model for the spread of an infection has a phase transition in the recuperation rate. The model is as follows: There are particles or individuals of type A and type B, interpreted as healthy and infected,…
We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian option), given a finite number of observed call prices for…
We propose an analytically tractable class of models for the dynamics of a limit order book, described through a stochastic partial differential equation (SPDE) with multiplicative noise for the order book centered at the mid-price, along…
We wish to characterise when a L\'{e}vy process $X_t$ crosses boundaries like $t^\kappa$, $\kappa>0$, in a one or two-sided sense, for small times $t$; thus, we enquire when $\limsup_{t\downarrow 0}|X_t|/t^{\kappa}$, $\limsup_{t\downarrow…
The latent order book of \cite{donier2015fully} is one of the most promising agent-based models for market impact. This work extends the minimal model by allowing agents to exhibit mean-reversion, a commonly observed pattern in real…
A model of phase transitions with coupling between the order parameter and its gradient is proposed. It is shown, that this nonlinear model is suitable for the description of phase transitions accompanied by the formation of spatially…
We investigate present some new statistical properties of order books. We analyse data from the Nasdaq and investigate (a) the statistics of incoming limit order prices, (b) the shape of the average order book, and (c) the typical life time…
We investigate several statistical properties of the order book of three liquid stocks of the Paris Bourse. The results are to a large degree independent of the stock studied. The most interesting features concern (i) the statistics of…
We develop a theory of bid and ask price dynamics where the two prices form due to interaction of buy and sell orders. In this model the two prices are represented by eigenvalues of a 2x2 price operator corresponding to "bid" and "ask"…
We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson…
We find a series of topological phase transitions of increasing order, beyond the more standard second-order phase transition in a one-dimensional topological superconductor. The jumps in the order of the transitions depend on the range of…
In this paper we further extend the optimal bubble riding model proposed by Tangpi and Wang by allowing for price-dependent entry times. Agents are characterized by their individual entry threshold that represents their belief in the…
A common assumption when modeling queuing systems is that arrivals behave like a Poisson process with constant parameter. In practice, however, call arrivals are often observed to be significantly overdispersed. This motivates that in this…
The declining price anomaly states that the price weakly decreases when multiple copies of an item are sold sequentially over time. The anomaly has been observed in a plethora of practical applications. On the theoretical side, Gale and…
We study a system, where a random flow of customers is served by servers (called agents) invited on-demand. Each invited agent arrives into the system after a random time; after each service completion, an agent returns to the system or…
In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit order book. The models we propose thus integrate the…