Related papers: Conservation Laws in a Limit Order Book
Thanks to the access to the labeled orders on the CAC40 data from Euronext, we are able to analyze agents' behaviors in the market based on their placed orders. In this study, we construct a self-supervised learning model using triplet loss…
We propose a simple stochastic model for the dynamics of a limit order book, extending the recent work of Cont and de Larrard (2013), where the price dynamics are endogenous, resulting from market transactions. We also show that the…
Motivated by the desire to bridge the gap between the microscopic description of price formation (agent-based modeling) and the stochastic differential equations approach used classically to describe price evolution at macroscopic time…
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that liquidity tends todecrease with the amplitude of past…
Scaling laws have shaped recent advances in machine learning by enabling predictable scaling of model performance based on model size, computation, and data volume. Concurrently, the rise in computational cost for AI has motivated model…
Behavior constrained policy optimization has been demonstrated to be a successful paradigm for tackling Offline Reinforcement Learning. By exploiting historical transitions, a policy is trained to maximize a learned value function while…
This paper presents a novel model for simulating and analyzing sparse limit order books (LOBs), with a specific application to the European intraday electricity market. In illiquid markets, characterized by significant gaps between order…
In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit order book. The models we propose thus integrate the…
In this paper, we study a nonlinear system of first order partial differential equations describing the macroscopic behavior of an ensemble of interacting self-propelled rigid bodies. Such system may be relevant for the modelling of bird…
This study pioneers the application of the market microstructure framework to an informal financial market. By scraping data from websites and social media about the Cuban informal currency market, we model the dynamics of bid/ask…
The kinetic spherical model with long-ranged interactions and an arbitrary initial order m_{0} quenched from a very high temperature to T < T_{c} is solved. In the short-time regime, the bulk order increases with a power law in both the…
We consider a first-order aggregation model in both discrete and continuum formulations and show rigorously how it can be obtained as zero inertia limits of second-order models. In the continuum case the procedure consists in a macroscopic…
Time-dependent models of fluid motion in thin layers, subject to signed source terms, represent important sub-problems within climate dynamics. Examples include ice sheets, sea ice, and even shallow oceans and lakes. We address these…
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I develop a quantitative theory for the…
Solutions of initial-boundary value problems for systems of conservation laws depend on the underlying viscous mechanism, namely different viscosity operators lead to different limit solutions. Standard numerical schemes for approximating…
We are interested in a class of numerical schemes for the optimization of nonlinear hyperbolic partial differential equations. We present continuous and discretized relaxation schemes for scalar, one-- conservation laws. We present…
We develop a general framework for the analysis of approximations to stochastic scalar conservation laws. Our aim is to prove, under minimal consistency properties and bounds, that such approximations are converging to the solution to a…
We use a recent, high-quality data set from Nasdaq to perform an empirical analysis of order flow in a limit order book (LOB) before and after the arrival of a market order. For each of the stocks that we study, we identify a sequence of…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
In this work we present an extension of the technique of the order reduction to higher perturbative approximations in an iterative fashion. The intention is also to analyze more carefully the conditions for the validity of the order…