Related papers: Hydrodynamic limit of order book dynamics
We consider a process on $\mathbb{T}^2$, which consists of fast motion along the stream lines of an incompressible periodic vector field perturbed by white noise. It gives rise to a process on the graph naturally associated to the structure…
Latent order book models have allowed for significant progress in our understanding of price formation in financial markets. In particular they are able to reproduce a number of stylized facts, such as the square-root impact law. An…
Limit order books (LOBs) match buyers and sellers in more than half of the world's financial markets. This survey highlights the insights that have emerged from the wealth of empirical and theoretical studies of LOBs. We examine the…
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…
We investigated a cost-constrained static ergodic control problem of the variance of measure-valued affine processes and its application in streamflow management. The controlled system is a jump-driven mixed moving average process that…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
We propose a unified mean-field framework that bridges the dynamics of informal financial markets and formal markets governed by Limit Order Books (LOBs). Both settings are modeled as interacting particle systems on a 1D price lattice, with…
We study a hydrodynamic limit of a system of coupled kinetic and fluid equations under a strong local alignment force and a strong Brownian motion. More precisely, we consider the Vlasov-Fokker-Planck type equation and compressible…
Modeling the impact of the order flow on asset prices is of primary importance to understand the behavior of financial markets. Part I of this paper reported the remarkable improvements in the description of the price dynamics which can be…
In this paper, we study the hydrodynamic limit transition from the Boltzmann equation for gas mixtures to the two-fluid macroscopic system. Employing a meticulous dimensionless analysis, we derive several novel hydrodynamic models via the…
We study a finite element approximation of a coupled fluid-structure interaction consisting of a three-dimensional incompressible viscous fluid governed by the unsteady Stokes equations and a two-dimensional elastic plate. To avoid the use…
The scale factors of an arbitrary orthogonal space are a measure of its content of homogeneous orthogonal space. In the present study, it is shown, that their spatial and temporal rates of variation do not contribute to the differential…
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…
We consider the barotropic Navier--Stokes system describing the motion of a compressible Newtonian fluid in a bounded domain with in and out flux boundary conditions. We show that if the boundary velocity coincides with that of a rigid…
In this research, we have empirically investigated the key drivers affecting liquidity in equity markets. We illustrated how theoretical models, such as Kyle's model, of agents' interplay in the financial markets, are aligned with the…
This paper is concerned with a diffusion model of phase-field type, consisting of a parabolic system of two partial differential equations, interpreted as balances of microforces and microenergy, for two unknowns: the problem's order…
The success of spectroscopy to characterise equilibrium fluids, for example the heat capacity ratio, suggests a parallel approach for active fluids. Here, we start from a hydrodynamic description of chiral active fluids composed of spinning…
This article considers some classes of models dealing with the dynamics of discrete curves subjected to stochastic deformations. It turns out that the problems of interest can be set in terms of interacting exclusion processes, the ultimate…
We provide an explicit rigorous derivation of a diffusion limit - a stochastic differential equation with additive noise - from a deterministic skew-product flow. This flow is assumed to exhibit time-scale separation and has the form of a…
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general…