Related papers: Latency and liquidity provision in a limit order b…
Quantitative understanding of stochastic dynamics in limit order price changes is essential for execution strategy design. We analyze intraday transition dynamics of ask and bid orders across market capitalization tiers using high-frequency…
In financial applications, latency advantages -- the ability to make decisions later than others, even without the ability to see what others have done -- can provide individual participants with an edge by allowing them to gather…
Motivated by applications such as urban traffic control and make-to-order systems, we study a fluid model of a single-server, on-off system that can accommodate multiple queues. The server visits each queue in order: when a queue is served,…
We define a stochastic model of a two-sided limit order book in terms of its key quantities \textit{best bid [ask] price} and the \textit{standing buy [sell] volume density}. For a simple scaling of the discreteness parameters, that keeps…
We study a multi-agent setting in which brokers transact with an informed trader. Through a sequential Stackelberg-type game, brokers manage trading costs and adverse selection with an informed trader. In particular, supplying liquidity to…
In this paper, we establish a fluid limit for a two--sided Markov order book model. Our main result states that in a certain asymptotic regime, a pair of measure-valued processes representing the "sell-side shape" and "buy-side shape" of an…
We propose a parametric model for the simulation of limit order books. We assume that limit orders, market orders and cancellations are submitted according to point processes with state-dependent intensities. We propose new functional forms…
Executing even moderately large derivatives orders can be expensive and risky; it's hard to balance the uncertainty of working an order over time versus paying a liquidity premium for immediate execution. Here, we introduce the Time Is…
This paper studies optimal market making for large-tick assets in the presence of latency. We consider a random walk model for the asset price, and formulate the market maker's optimization problem using Markov Decision Processes (MDP). We…
The presented study elaborates a multi-server priority queueing model considering the pre-emptive repeat policy and phase-type distribution (PH) for retrial process. The incoming heterogeneous calls are categorized as handoff calls and new…
We study the scheduling of flows on a switch with the goal of optimizing metrics related to the response time of the flows. The input to the problem is a sequence of flow requests on a switch, where the switch is represented by a bipartite…
We examine optimal execution models that take into account both market microstructure impact and informational costs. Informational footprint is related to order flow and is represented by the trader's influence on the flow imbalance…
Order book dynamics play an important role in both execution time and price formation of orders in an exchange market. In this study, we aim to model the limit order arrival rates in the vicinity of the best bid and the best ask price…
We present an approach for verifying systems at runtime. Our approach targets distributed systems whose components communicate with monitors over unreliable channels, where messages can be delayed, reordered, or even lost. Furthermore, our…
In this paper, we investigate the use of variable speed limits for resilient operation of transportation networks, which are modeled as dynamical flow networks under local routing decisions. In such systems, some external inflow is injected…
We investigate several statistical properties of the order book of three liquid stocks of the Paris Bourse. The results are to a large degree independent of the stock studied. The most interesting features concern (i) the statistics of…
The problem of load balancing in a distribution network under unknown time- varying demand and supply is studied. A set of distributed controllers which regulate the amount of flow through the edges is designed to guarantee convergence of…
We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which is the centralized order book market of London Stock…
We present a class of macroscopic models of the Limit Order Book to simulate the aggregate behaviour of market makers in response to trading flows. The resulting models are solved numerically and asymptotically, and a class of similarity…
The decision process requires information about the present state of the system, but in economy acquiring data and processing them is an expensive and time consuming process. Therefore the state of the system is measured and announced at…