Related papers: Simulating and analyzing order book data: The queu…
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 a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a…
Continuous time financial market models are often motivated as scaling limits of discrete time models. The objective of this paper is to establish such a connection for a robust framework. More specifically, we consider discrete time models…
In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated process is a diffusive process. We derive recursive…
This paper investigates real-time detection of spoofing activity in limit order books, focusing on cryptocurrency centralized exchanges. We first introduce novel order flow variables based on multi-scale Hawkes processes that account both…
We consider Markov processes, which describe e.g. queueing network processes, in a random environment which influences the network by determining random breakdown of nodes, and the necessity of repair thereafter. Starting from an explicit…
This article presents a new continuous-time modelling framework for multivariate time series of counts which have an infinitely divisible marginal distribution. The model is based on a mixed moving average process driven by L\'{e}vy noise -…
This is an annotated bibliography on estimation and inference results for queues and related stochastic models. The purpose of this document is to collect and categorise works in the field, allowing for researchers and practitioners to…
This research attempts to model the stochastic process of trades in a limit order book market as a marked point process. We propose a semi-parametric model for the conditional distribution given the past, attempting to capture the effect of…
In this work, we present a continuous-time large-population game for modeling market microstructure betweentwo consecutive trades. The proposed modeling framework is inspired by our previous work [23]. In this framework, the Limit Order…
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…
We present a new microscopic stochastic model for an ensemble of interacting investors that buy and sell stocks in discrete time steps via limit orders based on individual forecasts about the price of the stock. These orders determine the…
We consider a general queueing system with price-sensitive customers in which the service provider seeks to balance two objectives, maximizing the average revenue rate and minimizing the average queue length. Customers arrive according to a…
We propose a generalization of the classical M/M/1 queue process. The resulting model is derived by applying fractional derivative operators to a system of difference-differential equations. This generalization includes both non-Markovian…
We consider a Markov process in continuous time with a finite number of discrete states. The time-dependent probabilities of being in any state of the Markov chain are governed by a set of ordinary differential equations, whose dimension…
In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…
The performance of an energy system under a real-time pricing mechanism depends on the consumption behavior of its customers, which involves uncertainties. In this paper, we consider a system operator that charges its customers with a…
We consider a stochastic fluid queue served by a constant rate server and driven by a process which is the local time of a certain Markov process. Such a stochastic system can be used as a model in a priority service system, especially when…
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…
In this paper we consider classes of models that have been recently developed for quantitative finance that involve modelling a highly complex multivariate, multi-attribute stochastic process known as the Limit Order Book (LOB). The LOB is…