Related papers: A diffusion approximation for limit order book mod…
We study a fully discrete finite element method for variable-order time-fractional diffusion equations with a time-dependent variable order. Optimal convergence estimates are proved with the first-order accuracy in time (and second order…
We present a concise, self-contained derivation of diffusion-based generative models. Starting from basic properties of Gaussian distributions (densities, quadratic expectations, re-parameterisation, products, and KL divergences), we…
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…
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 show a probabilistic functional limit result for one-dimensional diffusion processes that are reflected at an elastic boundary which is a function of the reflection local time. Such processes are constructed as limits of a sequence of…
We consider sequences of additive functionals of difference approximations for uniformly non-degenerate multidimensional diffusions. The conditions are given, sufficient for such a sequence to converge weakly to a W-functional of the…
Modelling incompressible ideal fluids as a finite collection of vortex filaments is important in physics (super-fluidity, models for the onset of turbulence) as well as for numerical algorithms used in computer graphics for the real time…
We establish a first and second-order approximation for an infinite dimensional limit order book model (LOB) in a single (''critical'') scaling regime where market and limit orders arrive at a common time scale. With our choice of scaling…
We study a double-ended queue where buyers and sellers arrive to conduct trades. When there is a pair of buyer and seller in the system, they immediately transact a trade and leave. Thus there cannot be non-zero number of buyers and sellers…
In this paper we look at the properties of limits of a sequence of real valued time inhomogeneous diffusions. When convergence is only in the sense of finite-dimensional distributions then the limit does not have to be a diffusion. However,…
In this work, we consider the numerical solution of an initial boundary value problem for the distributed order time fractional diffusion equation. The model arises in the mathematical modeling of ultra-slow diffusion processes observed in…
We consider fast oscillating perturbations of dynamical systems in regions where one can introduce action-angle type coordinates. In an appropriate time scale, a diffusion approximation of the first-integrals evolution is described under…
We study the approximation of certain stochastic integrals with respect to a d-dimensional diffusion by corresponding stochastic integrals with piece-wise constant integrands. In finance this corresponds to replacing a continuously adjusted…
Diffusion models have achieved huge empirical success in data generation tasks. Recently, some efforts have been made to adapt the framework of diffusion models to discrete state space, providing a more natural approach for modeling…
Modeling limit order books (LOBs) dynamics is a fundamental problem in market microstructure research. In particular, generating high-dimensional volume snapshots with strong temporal and liquidity-dependent patterns remains a challenging…
We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). Our model is flexible enough to allow for a dependence of the price dynamics on volumes. For the joint dynamics of best bid and ask prices and the…
In this paper, we consider multistopping problems for finite discrete time sequences $X_1,...,X_n$. $m$-stops are allowed and the aim is to maximize the expected value of the best of these $m$ stops. The random variables are neither assumed…
We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in…
Diffusion models for continuous data gained widespread adoption owing to their high quality generation and control mechanisms. However, controllable diffusion on discrete data faces challenges given that continuous guidance methods do not…
Discrete diffusion models are a class of generative models that construct sequences by progressively denoising samples from a categorical noise distribution. Beyond their rapidly growing ability to generate coherent natural language, these…