Related papers: Market Dynamics vs. Statistics: Limit Order Book E…
The distribution of liquidity within the limit order book is essential for the impact of market orders on the stock price and the emergence of price shocks. Limit orders are characterized by stylized facts: The number of inserted limit…
Traders in a market typically have widely different, private information on the return of an asset. The equilibrium price of the asset may reflect this information more accurately if the number of traders is large enough compared to the…
Conserved dynamical systems are generally considered to be critical. We study a class of critical routing models, equivalent to random maps, which can be solved rigorously in the thermodynamic limit. The information flow is conserved for…
Reliable demand forecasts are critical for the effective supply chain management. Several endogenous and exogenous variables can influence the dynamics of demand, and hence a single statistical model that only consists of historical sales…
We first investigate the evolution of opening and closing auctions volumes of US equities along the years. We then report dynamical properties of pre-auction periods: the indicative match price is strongly mean-reverting because the…
A micro-scale model is proposed for the evolution of the limit order book. Within this model, the flows of orders (claims) are described by doubly stochastic Poisson processes taking account of the stochastic character of intensities of bid…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
Technological progress is leading to proliferation and diversification of trading venues, thus increasing the relevance of the long-standing question of market fragmentation versus consolidation. To address this issue quantitatively, we…
One popular approach to model the limit order books dynamics of the best bid and ask at level-1 is to use the reduced-form diffusion approximations. It is well known that the biggest contributing factor to the price movement is the…
Research on limit order book markets has been rapidly growing and nowadays high-frequency full order book data is widely available for researchers and practitioners. However, it is common that research papers use the best level data only,…
In this paper we present a novel approach to the determination of fat tails in financial data by studying the information contained in the limit order book. In an order-driven market buyers and sellers may submit limit orders, which are…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
In this dissertation two simple models of stock exchange are developed and simulated numerically. The first is characterized by centralized trading with a market maker. Unfortunately, this model is unable to generate realistic market…
Given the combined evidences of bounded rationality, limited information and short-term optimization, over-the-counter (OTC) fresh product markets provide a perfect instance where to develop a behavioural approach to the analysis of…
In electronic trading markets, limit order books (LOBs) provide information about pending buy/sell orders at various price levels for a given security. Recently, there has been a growing interest in using LOB data for resolving downstream…
The NYSE and NASDAQ stock markets have very different structures and there is continuing controversy over whether differences in stock price behaviour are due to market structure or company characteristics. As the influence of market…
This paper presents a novel non-stationary dynamic pricing algorithm design, where pricing agents face incomplete demand information and market environment shifts. The agents run price experiments to learn about each product's demand curve…
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high…
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 propose and analyze numerically a simple dynamical model that describes the firm behaviors under uncertainty of demand forecast. Iterating this simple model and varying some parameters values we observe a wide variety of market dynamics…