Related papers: Hydrodynamic limit of order book dynamics
In this paper, we consider the hydrodynamic limit for the fluid-particle flows governed by the Vlasov-Fokker-Planck equation coupled with the compressible Navier-Stokes equation as the Deborah number tends to zero. The limit is valid…
In order-driven markets, limit-order book (LOB) resiliency is an important microscopic indicator of market quality when the order book is hit by a liquidity shock and plays an essential role in the design of optimal submission strategies of…
Market making is one of the most important aspects of algorithmic trading, and it has been studied quite extensively from a theoretical point of view. The practical implementation of so-called "optimal strategies" however suffers from the…
We obtain the hydrodynamic limit of one-dimensional interacting particle systems describing the macroscopic evolution of the density of mass in infinite volume from the microscopic dynamics. The processes are weak pertubations of the…
We consider surface finite elements and a semi-implicit time stepping scheme to simulate fluid deformable surfaces. Such surfaces are modeled by incompressible surface Navier-Stokes equations with bending forces. Here, we consider closed…
In a recent paper by Grunewald et.al., a new method to study hydrodynamic limits was developed for reversible dynamics. In this work, we generalize this method to a family of non-reversible dynamics. As an application, we obtain…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large time scales (15 minutes) large price fluctuations are…
Ramaswami showed recently that standard Brownian motion arises as the limit of a family of Markov-modulated linear fluid processes. We pursue this analysis with a fluid approximation for Markov-modulated Brownian motion. Furthermore, we…
When one considers a shock wave in the frame where the shock is at rest, on either side one has a steady flow which converges to equilibrium away from the shock. However, hydrodynamics is unable to describe this flow if the asymptotic…
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 consider a family of stochastic models of evolving two-dimensional Young diagrams, given in terms of certain energies, with Gibbs invariant measures. `Static' scaling limits of the shape functions, under these Gibbs measures, have been…
We establish the anomalous mean dissipation rate of energy in the inviscid limit for a stochastic shell model of turbulent fluid flow. The proof relies on viscosity independent bounds for stationary solutions and on establishing ergodic and…
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…
Considering the standard abelian sandpile model in one dimension, we construct an infinite volume Markov process corresponding to its thermodynamic (infinite volume) limit. The main difficulty we overcome is the strong non-locality of the…
This paper establishes limit theorems for a class of stochastic hybrid systems (continuous deterministic dynamic coupled with jump Markov processes) in the fluid limit (small jumps at high frequency), thus extending known results for jump…
Dry active matter in an anisotropic medium is of experimental relevance, and the interplay between anisotropy and the dynamics of the active matter remains under-explored. Here, we derive the hydrodynamic equations of a generic dry polar…
We derive for the first time in the literature a rate of convergence in the hydrodynamic limit of the Kawasaki dynamics for a one-dimensional lattice system. We use an adaptation of the two-scale approach. The main difference to the…
We formally derive the hydrodynamic limit of a system modelling a bosons gas having a condensed part, made of a quantum kinetic and a Gross-Pitaevskii equation. The limit model, which is a two-fluids Euler system, is approximated by an…
A dynamical system may be defined by a simple transition law - such as a map or a vector field. The objective of most learning techniques is to reconstruct this dynamic transition law. This is a major shortcoming, as most dynamic properties…