Related papers: Market Dynamics vs. Statistics: Limit Order Book E…
We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the averaged LOB…
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…
Algorithmic trading relies on extracting meaningful signals from diverse financial data sources, including candlestick charts, order statistics on put and canceled orders, traded volume data, limit order books, and news flow. While deep…
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…
The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…
We observe the effects of the three different events that cause spread changes in the order book, namely trades, deletions and placement of limit orders. By looking at the frequencies of the relative amounts of price changing events, we…
Market liquidity plays a vital role in the field of market micro-structure, because it is the vigor of the financial market. This paper uses a variable called convexity to measure the potential liquidity provided by order-book. Based on the…
We propose a microstructural model for the order flow in financial markets that distinguishes between {\it core orders} and {\it reaction flow}, both modeled as Hawkes processes. This model has a natural scaling limit that reconciles a…
The article is an empirical study of market impact through order book events. It describes a mechanism of extracting an average participation rate and a market impact of small orders which represent individual slices of large metaorders.…
It is a challenging task to identify the best possible models based on given empirical data of observed time series. Though the financial markets provide us with a vast amount of empirical data, the best model selection is still a big…
In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different traders populations, chartists and fundamentalists, which determine the price dynamic of the…
There are multiple ways in which a stochastic system can be out of statistical equilibrium. It might be subject to time-varying forcing; or be in a transient phase on its way towards equilibrium; it might even be in equilibrium without us…
We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day,…
Digital marketplaces processing billions of dollars annually represent critical infrastructure in sociotechnical ecosystems, yet their performance optimization lacks principled measurement frameworks that can inform algorithmic governance…
We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first proposed in Bacry and Muzy (2015) can be successfully used to study complex interactions between the time of arrival of orders and their…
There is a pervasive assumption that low latency access to an exchange is a key factor in the profitability of many high-frequency trading strategies. This belief is evidenced by the "arms race" undertaken by certain financial firms to…
The present communication addresses a set of observations, obeying both deterministic as well as statistical formal requirements, and serving to operate within the framework of the dynamical systems theory, with a certain emphasis placed on…
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order…
This manuscript reports a stochastic dynamical scenario whose associated stationary probability density function is exactly a previously proposed one to adjust high-frequency traded volume distributions. This dynamical conjecture,…
Lead/lag relationships are an important stylized fact at high frequency. Some assets follow the path of others with a small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric…