Related papers: A Scaling Limit for Limit Order Books Driven by Ha…
After having introduced the notion of universality in statistical mechanics and its importance for our comprehension of the macroscopic behavior of interacting systems, I review recent progress in the understanding of the scaling limit of…
In this paper we investigate a dynamic pricing model for constant demand elasticity where customers have a probability distribution on the number of items they order. This is a generalization from standard models which restrict customers to…
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange. After…
In this paper, we establish general scaling limits for nearly unstable Hawkes processes in a mean-field regime by extending the method introduced by Jaisson and Rosenbaum. Under a mild asymptotic criticality condition on the self-exciting…
We propose a price impact model where changes in prices are purely driven by the order flow in the market. The stochastic price impact of market orders and the arrival rates of limit and market orders are functions of the market liquidity…
We introduce a new non parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branching ratio matrix. We demonstrate the capabilities of this…
Introducing an algebraic framework for modeling limit order books (LOBs) with tools from physics and stochastic processes, our proposed framework captures the creation and annihilation of orders, order matching, and the time evolution of…
The Hawkes model is suitable for describing self and mutually exciting random events. In addition, the exponential decay in the Hawkes process allows us to calculate the moment properties in the model. However, due to the complexity of the…
This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varying LOB depth. We solve the optimal execution problem in this…
Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationship between prices and volume imbalance. To this end, we…
Managing high-frequency data in a limit order book (LOB) is a complex task that often exceeds the capabilities of conventional time-series forecasting models. Accurately predicting the entire multi-level LOB, beyond just the mid-price, is…
On the integer lattice we consider the discrete membrane model, a random interface in which the field has Laplacian interaction. We prove that, under appropriate rescaling, the discrete membrane model converges to the continuum membrane…
We build an agent-based model for the order book with three types of market participants: informed trader, noise trader and competitive market makers. Using a Glosten-Milgrom like approach, we are able to deduce the whole limit order book…
The use of limiting methods for high-order numerical approximations of hyperbolic conservation laws generally requires defining an admissible region/bounds for the solution. In this work, we present a novel approach for computing solution…
\noindent We address the issue of market making on electronic markets when taking into account the clustering and long memory properties of market order flows. We consider a market model with one market maker and order flows driven by…
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general…
We study the scaling limit of a statistical system, which is a special case of the integrable inhomogeneous six-vertex model. It possesses $U_q\big(\mathfrak{sl}(2)\big)$ invariance due to the choice of open boundary conditions imposed. An…
We generalise the construction of multivariate Hawkes processes to a possibly infinite network of counting processes on a directed graph $\mathbb G$. The process is constructed as the solution to a system of Poisson driven stochastic…
We prove a law of large numbers and functional central limit theorem for a class of multivariate Hawkes processes with time-dependent reproduction rate. We address the difficulties induced by the use of non-convolutive Volterra processes by…
The process of pattern formation in the two dimensional Swift-Hohenberg equation is examined through numerical and analytic methods. Dynamic scaling relationships are developed for the collective ordering of convective rolls in the limit of…