Related papers: Marked point processes and intensity ratios for li…
We propose a unified mean-field framework that bridges the dynamics of informal financial markets and formal markets governed by Limit Order Books (LOBs). Both settings are modeled as interacting particle systems on a 1D price lattice, with…
The extent to which a matching engine can cloud the modelling of underlying order submission and management processes in a financial market remains an unanswered concern with regards to market models. Here we consider a 10-variate Hawkes…
In this paper, a framework on a discrete observation of (marked) point processes under the high-frequency observation is developed. Based on this framework, we first clarify the relation between random coefficient integer-valued…
We consider the multivariate point process determined by the crossing times of the components of a multivariate jump process through a multivariate boundary, assuming to reset each component to an initial value after its boundary crossing.…
We achieve two primary goals in this work. First, we propose a flexible algorithm that can simulate various scenarios of state/government intervention. Secondly, we analyze the scenario exhibiting the critical behavior of the market of…
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and…
In this paper, we study a class of self-exciting point processes. The intensity of the point process has a nonlinear dependence on the past history and time. When a new jump occurs, the intensity increases and we expect more jumps to come.…
R. Cont and A. de Larrard (SIAM J. Finan. Math, 2013) introduced a tractable stochastic model for the dynamics of a limit order book, computing various quantities of interest such as the probability of a price increase or the diffusion…
We propose an analytically tractable class of models for the dynamics of a limit order book, described through a stochastic partial differential equation (SPDE) with multiplicative noise for the order book centered at the mid-price, along…
Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including power markets and the power systems they intend to govern. Transaction-based control is founded on the conjecture that the…
In this paper, we establish a fluid limit for a two--sided Markov order book model. Our main result states that in a certain asymptotic regime, a pair of measure-valued processes representing the "sell-side shape" and "buy-side shape" of an…
Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important for validation of hand-coded trading strategies and for…
Intensity-based multistate models provide a useful framework for characterizing disease processes, the introduction of interventions, loss to follow-up, and other complications arising in the conduct of randomized trials studying complex…
Univariate marked Hawkes processes are used to model a range of real-world phenomena including earthquake aftershock sequences, contagious disease spread, content diffusion on social media platforms, and order book dynamics. This paper…
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…
We develop a quasi-likelihood analysis procedure for a general class of multivariate marked point processes. As a by-product of the general method, we establish under stability and ergodicity conditions the local asymptotic normality of the…
In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. Agents are assumed to have three components to the expectation of future asset…
We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ~ 1/f**beta, scaled as power of frequency for various values of beta…
We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for…
The problem of appropriately matching items subject to compatibility constraints arises in a number of important applications. While most of the literature on matching theory focuses on a static setting with a fixed number of items, several…