Related papers: Modeling high-frequency order flow imbalance by fu…
In this paper we propose a deep recurrent model based on the order flow for the stationary modelling of the high-frequency directional prices movements. The order flow is the microsecond stream of orders arriving at the exchange, driving…
Managing the prediction of metrics in high-frequency financial markets is a challenging task. An efficient way is by monitoring the dynamics of a limit order book to identify the information edge. This paper describes the first publicly…
We exploit cutting-edge deep learning methodologies to explore the predictability of high-frequency Limit Order Book mid-price changes for a heterogeneous set of stocks traded on the NASDAQ exchange. In so doing, we release `LOBFrame', an…
Expanding on neural operators, we propose a novel framework for stochastic process learning across arbitrary domains. In particular, we develop operator flow matching (OFM) for learning stochastic process priors on function spaces. OFM…
Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law…
While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce. We provide here an empirical study of…
We develop a cross-border market model for two countries based on a continuous trading mechanism, in which the transmission capacities that enable transactions between market participants from different countries are limited. Our market…
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is generic, and only relies on mild assumptions about the order flow…
There is a pervasive assumption that low latency access to an exchange is a key factor in the profitability of many high-frequency trading strategies. This belief is evidenced by the "arms race" undertaken by certain financial firms to…
Understanding the micro-dynamics of asset prices in modern electronic order books is crucial for investors and regulators. In this paper, we use an order by order Eurostoxx database spanning over 3 years to analyze the joint dynamics of…
To assign a value to a portfolio, it is common to use Mark-to-Market prices. However, how should one proceed when the securities are illiquid? When transaction prices are scarce, how can one use all the available real-time information? In…
Increased day-trading activity and the subsequent jump in intraday volatility and trading volume fluctuations has raised considerable interest in models for financial market microstructure. We investigate the random transitions between two…
Statistical analysis of high-frequency stock market order transaction data is conducted to understand order transition dynamics. We employ a first-order time-homogeneous discrete-time Markov chain model to the sequence of orders of stocks…
This work introduces a framework for evaluating onchain order flow auctions (OFAs), emphasizing the metric of price improvement. Utilizing a set of open-source tools, our methodology systematically attributes price improvements to specific…
We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). Our model is flexible enough to allow for a dependence of the price dynamics on volumes. For the joint dynamics of best bid and ask prices and the…
We consider a periodic-review, fixed-lifetime perishable inventory control problem where demand is a general stochastic process. The optimal solution for this problem is intractable due to "curse of dimensionality". In this paper, we first…
Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistence can be attributed to the division and gradual execution of…
Probabilistic intraday electricity price forecasting is becoming increasingly important for short-term power-system operation. With increasing renewable generation, demand-side flexibility, and storage assets, market participants need to…
This paper studies inter-trade durations in the NASDAQ limit order market and finds that inter-trade durations in ultra-high frequency have two modes. One mode is to the order of approximately 10^{-4} seconds, and the other is to the order…
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…