Related papers: A framework for the modeling of order book dynamic…
We propose a general strategy for reduced order modeling of systems that display highly nonlinear oscillations. By considering a continuous family of forced periodic orbits defined in relation to a stable fixed point and subsequently…
Empirical complex systems can be characterized not only by pairwise interactions, but also by higher-order (group) interactions influencing collective phenomena, from metabolic reactions to epidemics. Nevertheless, higher-order networks'…
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 propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). In this context, the limit orders, market orders, and cancel orders arrivals in the LOB are…
We introduce a minimization formulation for the determination of a finite-dimensional, time-dependent, orthonormal basis that captures directions of the phase space associated with transient instabilities. While these instabilities have…
We propose a new model reduction framework for problems that exhibit transport phenomena. As in the moving finite element method (MFEM), our method employs time-dependent transformation operators and, especially, generalizes MFEM to…
We propose a minimal theory of non-linear price impact based on a linear (latent) order book approximation, inspired by diffusion-reaction models and general arguments. Our framework allows one to compute the average price trajectory in the…
In this article, we delve into the applications and extensions of the queue-reactive model for the simulation of limit order books. Our approach emphasizes the importance of order sizes, in conjunction with their type and arrival rate, by…
We build an agent-based model for the order book with three types of market participants: informed trader, noise trader and competitive market makers. Using a Glosten-Milgrom like approach, we are able to deduce the whole limit order book…
We present an agent behavior based microscopic model for diffusion price processes. As such we provide a model not only containing a convenient framework for describing socio-economic behavior, but also a sophisticated link to price…
We propose and analyze numerically a simple dynamical model that describes the firm behaviors under uncertainty of demand forecast. Iterating this simple model and varying some parameters values we observe a wide variety of market dynamics…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
We present a graphical and dynamic framework for binding and execution of business) process models. It is tailored to integrate 1) ad hoc processes modeled graphically, 2) third party services discovered in the (Inter)net, and 3)…
Inventory decision frameworks proposed in the literature for single-echelon supply chain systems rely on assumptions to obtain closed form expressions. In particular, two such frameworks - one conventional and the other with a demand…
This paper studies forecasting of the future distribution of events in human action sequences, a task essential in domains like retail, finance, healthcare, and recommendation systems where the precise temporal order is often less critical…
A novel high-frequency market-making approach in discrete time is proposed that admits closed-form solutions. By taking advantage of demand functions that are linear in the quoted bid and ask spreads with random coefficients, we model the…
We consider routing in reconfigurable networks, which is also known as coflow scheduling in the literature. The algorithmic literature generally (perhaps implicitly) assumes that the amount of data to be transferred is large. Thus the…
One of the principal barriers in developing accurate and tractable predictive models in turbulent flows with a large number of species is to track every species by solving a separate transport equation, which can be computationally…
Motivated by the increasing use of online appointment booking platforms, we study how to offer appointment slots to customers in order to maximize the total number of slots booked. We develop two models, non-sequential offering 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…