Related papers: Modeling high-frequency order flow imbalance by fu…
Limit Order Books (LOBs) serve as a mechanism for buyers and sellers to interact with each other in the financial markets. Modelling and simulating LOBs is quite often necessary for calibrating and fine-tuning the automated trading…
This paper studies a limit order book (LOB) model, in which the order dynamics depend on both, the current best available prices and the current volume density functions. For the joint dynamics of the best bid price, the best ask price, and…
Commonly used limit order book attributes are empirically considered based on NASDAQ ITCH data. It is shown that some of them have the properties drastically different from the ones assumed in many market dynamics study. Because of this…
We propose a dynamical model for the estimation of Operational Risk in banking institutions. Operational Risk is the risk that a financial loss occurs as the result of failed processes. Examples of operational losses are the ones generated…
This paper presents a novel model for simulating and analyzing sparse limit order books (LOBs), with a specific application to the European intraday electricity market. In illiquid markets, characterized by significant gaps between order…
In a recent paper, Alfonsi, Fruth and Schied (AFS) propose a simple order book based model for the impact of large orders on stock prices. They use this model to derive optimal strategies for the execution of large orders. We apply these…
Deregulated energy markets, demand forecasting, and the continuously increasing share of renewable energy sources call---among others---for a structured consideration of uncertainties in optimal power flow problems. The main challenge is to…
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…
The Poisson process is the most elementary continuous-time stochastic process that models a stream of repeating events. It is uniquely characterised by a single parameter called the rate. Instead of a single value for this rate, we here…
This paper deals with the problem of computing, in an online fashion, a maximum benefit multi-commodity flow (\ONMCF), where the flow demands may be bigger than the edge capacities of the network. We present an online, deterministic,…
We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the orderbook. This includes limit orders being placed outside of…
Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step…
Motivated by applications to mathematical biology, we study the averaging problem for slow-fast systems, {\em in the case in which the fast dynamics is a stochastic process with multiple invariant measures}. We consider both the case in…
With the proliferation of algorithmic high-frequency trading in financial markets, the Limit Order Book has generated increased research interest. Research is still at an early stage and there is much we do not understand about the dynamics…
We propose an error-correcting model for the microprice, a high-frequency estimator of future prices given higher order information of imbalances in the orderbook. The model takes into account a current microprice estimate given the spread…
In this paper we introduce two new Hawkes processes, namely, compound and regime-switching compound Hawkes processes, to model the price processes in limit order books. We prove Law of Large Numbers and Functional Central Limit Theorems…
In the last decade, machine learning-based approaches became capable of performing a wide range of complex tasks sometimes better than humans, demanding a fraction of the time. Such an advance is partially due to the exponential growth in…
We consider a central trading desk which aggregates the inflow of clients' orders with unobserved toxicity, i.e. persistent adverse directionality. The desk chooses either to internalise the inflow or externalise it to the market in a cost…
High-frequency trading (HFT) is an investing strategy that continuously monitors market states and places bid and ask orders at millisecond speeds. Traditional HFT approaches fit models with historical data and assume that future market…
We consider a service system where agents (or, servers) are invited on-demand. Customers arrive as a Poisson process and join a customer queue. Customer service times are i.i.d. exponential. Agents' behavior is random in two respects.…