Related papers: Modeling high-frequency order flow imbalance by fu…

This paper develops a theoretical mesoscopic model of the limit order book driven by multivariate Hawkes processes, designed to capture temporal self-excitation and the spatial propagation of order flow across price levels. In contrast to…

An innovative numerical technique is presented to adjust the inflow to a supply chain in order to achieve a desired outflow, reducing the costs of inventory, or the goods timing in warehouses. The supply chain is modelled by a conservation…

We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…

We study the cause of large fluctuations in prices in the London Stock Exchange. This is done at the microscopic level of individual events, where an event is the placement or cancellation of an order to buy or sell. We show that price…

Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…

The incorporation of stochastic loads and generation into the operation of power grids gives rise to an exposure to stochastic risk. This risk has been addressed in prior work through a variety of mechanisms, such as scenario generation or…

We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…

This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information about future cash flows. Each cash flow is…

We consider the worst-case expectation of a permutation invariant ambiguity set of discrete distributions as a proxy-cost for data-driven expected risk minimization. For this framework, we coin the term ordered risk minimization to…

This paper derives a diffusion approximation for a sequence of discrete-time one-sided limit order book models with non-linear state dependent order arrival and cancellation dynamics. The discrete time sequences are specified in terms of an…

This article presents a Hawkes process model with Markovian baseline intensities for high-frequency order book data modeling. We classify intraday order book trading events into a range of categories based on their order types and the price…

We study an online market-making problem in which a learner sequentially posts bid and ask prices for a single asset while interacting with traders holding private valuations. Unlike existing online learning formulations that assume fully…

Fractional equations have become the model of choice in several applications where heterogeneities at the microstructure result in anomalous diffusive behavior at the macroscale. In this work we introduce a new fractional operator…

Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are…

We use a recent, high-quality data set from Nasdaq to perform an empirical analysis of order flow in a limit order book (LOB) before and after the arrival of a market order. For each of the stocks that we study, we identify a sequence of…

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…

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…

This paper develops a model for option market making in which the hedging activity of the market maker generates price impact on the underlying asset. The option order flow is modeled by Cox processes, with intensities depending on the…

In high-frequency trading (HFT), leveraging limit order books (LOB) to model stock price movements is crucial for achieving profitable outcomes. However, this task is challenging due to the high-dimensional and volatile nature of the…

We study the relation between stock price changes and the difference in the number of sell and buy orders. Using a soft spin model, we describe the price impact of order imbalances and find an analogy to the fluctuation-dissipation theorem…