Related papers: Hydrodynamic limit of order book dynamics
In this paper, we investigate the magnetohydrodynamic viscous flow with second order slip flow model over a permeable shrinking surface. We have obtained the closed form of exact solution of Navier-Stokes equations by using similarity…
We prove a limit theorem for an integral functional of a Markov process. The Markovian dynamics is characterized by a linear Boltzmann equation modeling a one-dimensional test particle of mass $\lambda^{-1}\gg 1$ in an external periodic…
Consider an interacting particle system indexed by the vertices of a (possibly random) locally finite graph whose vertices and edges are equipped with marks representing parameters of the model such as the environment and initial…
We study a class of quadratic, infinite-dimensional dynamical systems, inspired by models for viscoelastic fluids. We prove that these equations define a semi-flow on the cone of positive, essentially bounded functions. As time tends to…
Conventional models of matching markets assume that monetary transfers can clear markets by compensating for utility differentials. However, empirical patterns show that such transfers often fail to close structural preference gaps. This…
We conduct modeling of the price dynamics following order flow imbalance in market microstructure and apply the model to the analysis of Chinese CSI 300 Index Futures. There are three findings. The first is that the order flow imbalance is…
We derive the hydrodynamic equations for the supersolid and superhexatic phases of a neutral two-dimensional Bose fluid. We find, assuming that the normal part of the fluid is clamped to an underlying substrate, that both phases can sustain…
The problem of constrained Markov decision process is considered. An agent aims to maximize the expected accumulated discounted reward subject to multiple constraints on its costs (the number of constraints is relatively small). A new dual…
We derive the hydrodynamic limit of a kinetic equation with a stochastic, short range perturbation of the velocity operator. Under some mixing hypotheses on the stochastic perturbation, we establish a diffusion-approximation result: the…
We study ergodic properties of a class of Markov-modulated general birth-death processes under fast regime switching. The first set of results concerns the ergodic properties of the properly scaled joint Markov process with a parameter that…
In the domain of the so called Econophysics some attempts already have been made for applying the theory of Thermodynamics and Statistical Mechanics to economics and financial markets. In this paper a similar approach is made from a…
We construct a coarse-grained effective two-dimensional (2d) hydrodynamic theory as a theoretical model for a coupled system of a fluid membrane and a thin layer of a polar active fluid in its ordered state that is anchored to the membrane.…
Trade-off relations place fundamental limits on the operations that physical systems can perform. This Letter presents a trade-off relation that bounds the correlation function, which measures the relationship between a system's current and…
We study the hydrodynamic limit for three gradient spin models: generalized Kipnis-Marchioro-Presutti (KMP), its discrete version and a family of harmonic models, under symmetric and nearest-neighbor interactions. These three models share…
We present a mesoscopic lattice model for non-ideal fluid flows with directional interactions, mimicking the effects of hydrogen-bonds in water. The model supports a rich and complex structural dynamics of the orientational order parameter,…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
We develop a unified kinetic theory for ordered fluids, which systematically extends the phase space with the appropriate generalized angular momenta. Our theory yields a uniquely determined mesoscopic model for any continuum with…
We consider the behaviour of branching-selection particle systems in the large population limit. The dynamics of these systems is the combination of the following three components: (a) Motion: particles move on the real line according to a…
We extend our earlier macrostatistical treatment of hydrodynamical fluctuations about nonequilibrium steady states to viscous fluids. Since the scale dependence of the Navier-Stokes equations precludes the applicability of any infinite…
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…