Related papers: General Semi-Markov Model for Limit Order Books: T…
Large language models have significantly transformed multiple fields with their exceptional performance in natural language tasks, but their deployment in resource-constrained environments like edge networks presents an ongoing challenge.…
In this paper, we develop a Markovian model that deals with the volume offered at the best quote of an electronic order book. The volume of the first limit is a stochastic process whose paths are periodically interrupted and reset to a new…
We propose a general framework to describe the impact of different events in the order book, that generalizes previous work on the impact of market orders. Two different modeling routes can be considered, which are equivalent when only…
In this article, we consider a continuous review (s, S) inventory system with failures of demand fulfillment (service) modeled as a Markov-modulated retrial queueing system. The inventory system features a single product that experiences…
Considering the potential of thermostatically controlled loads (TCLs) to provide flexibility in demand response or load control, a semi-Markov model (SMM) for the ON/OFF controlled TCL is developed in this paper. This model makes full use…
In this paper, we outline a model of graph (or network) dynamics based on two ingredients. The first ingredient is a Markov chain on the space of possible graphs. The second ingredient is a semi-Markov counting process of renewal type. The…
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of…
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize…
We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday return are described by a discrete time homogeneous semi-Markov process and the…
In this paper, we study various new Hawkes processes. Specifically, we construct general compound Hawkes processes and investigate their properties in limit order books. With regards to these general compound Hawkes processes, we prove a…
We consider the growth, order, and finiteness problems for automaton (semi)groups. We propose new implementations and compare them with the existing ones. As a result of extensive experimentations, we propose some conjectures on the order…
This paper presents algorithms for identifying and reducing a dedicated set of controllable transition rates of a state-labelled continuous-time Markov chain model. The purpose of the reduction is to make states to satisfy a given…
We introduce a model for limit order book of a certain security with two main features: First, both the limit orders and market orders for the given asset are allowed to appear and interact with each other. Second, the high frequency…
Maglaras, Moallemi, and Zheng (2021) have introduced a flexible queueing model for fragmented limit-order markets, whose fluid limit remains remarkably tractable. In the present study we prove that, in the limit of small and frequent…
In this paper we study limit behavior for a Markov-modulated (MM) binomial counting process, also called a binomial counting process under regime switching. Such a process naturally appears in the context of credit risk when multiple…
In this paper we study the high frequency dynamic of financial volumes of traded stocks by using a semi-Markov approach. More precisely we assume that the intraday logarithmic change of volume is described by a weighted-indexed semi-Markov…
In this work, we propose an order book model with herd behavior. The proposed model is built upon two distinct approaches: a recent empirical study of the detailed order book records by Kanazawa et al. [Phys. Rev. Lett. 120, 138301] and…
This paper deals with control of partially observable discrete-time stochastic systems. It introduces and studies Markov Decision Processes with Incomplete Information and with semi-uniform Feller transition probabilities. The important…
Motivated by queueing systems with heterogeneous parallel servers, we consider a class of structured multi-dimensional Markov processes whose state space can be partitioned into two parts: a finite set of boundary states and a structured…
Recent technological developments have changed the fundamental ways stock markets function, bringing regulatory instances to assess the benefits of these developments. In parallel, the ongoing machine learning revolution and its multiple…