Related papers: Order book dynamics with liquidity fluctuations: l…
We extend a Discrete Time Random Walk (DTRW) numerical scheme to simulate the anomalous diffusion of financial market orders in a simulated order book. Here using random walks with Sibuya waiting times to include a time-dependent stochastic…
As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and…
We extend a linear version of the liquidity risk model of Cetin et al. (2004) to allow for price impacts. We show that the impact of a market order on prices depends on the size of the transaction and the level of liquidity. We obtain a…
We report a statistical analysis of the Island ECN (NASDAQ) order book. We determine the static and dynamic properties of this system, and then analyze them from a physicist's viewpoint using an equivalent particle system obtained by…
In a vast area of probabilistic limit theorems for dynamical systems with chaotic behaviors always only functional form (exponential, power, etc) of the asymptotic laws and of convergence rates were studied. However, for basically all…
We develop a model for point processes on the real line, where the intensity can be locally unbounded without inducing an explosion. In contrast to an orderly point process, for which the probability of observing more than one event over a…
Phenomena as diverse as breeding bird populations, the size of U.S. firms, money invested in mutual funds, the GDP of individual countries and the scientific output of universities all show unusual but remarkably similar growth…
We introduce a Cox-type model for relative intensities of orders flows in a limit order book. The model assumes that all intensities share a common baseline intensity, which may for example represent the global market activity. Parameters…
Limit order book (LOB) is a dynamic, event-driven system that records real-time market demand and supply for a financial asset in a stream flow. Event stream prediction in LOB refers to forecasting both the timing and the type of events.…
We propose a model for price formation in financial markets based on clearing of a standard call auction with random orders, and verify its validity for prediction of the daily closing price distribution statistically. The model considers…
We provide a short-time large deviation principle (LDP) for stochastic volatility models, where the volatility is expressed as a function of a Volterra process. This LDP does not require strict self-similarity assumptions on the Volterra…
We construct the hydrodynamic theory of coherent collective motion ("flocking") at a solid-liquid interface. The polar order parameter and concentration of a collection of "active" (self-propelled) particles at a planar interface between a…
By generalizing a class of models recently introduced to account for protracted transients in biological systems, we identify a novel mechanism for hyperuniformity. In this model, competition of particles over a shared resource guides the…
We consider the asymptotic behaviour of the fluctuation process for large stochastic systems of interacting particles driven by both idiosyncratic and common noise with an interaction kernel \(k \in L^2(\R^d) \cap L^\infty(\R^d)\). Our…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
We compute the growth fluctuations in equilibrium of a wide class of deposition models. These models also serve as general frame to several nearest-neighbor particle jump processes, e.g. the simple exclusion or the zero range process, where…
This research presents a comprehensive framework for analyzing liquidity in financial markets, particularly in the context of high-frequency trading. By leveraging advanced machine learning classification techniques, including Logistic…
We conduct modeling of the price dynamics following order flow imbalance in market microstructure and apply the model to the analysis of Chinese CSI 300 Index Futures. There are three findings. The first is that the order flow imbalance is…
The modeling of the limit order book is directly related to the assumptions on the behavior of real market participants. This paper is twofold. We first present empirical findings that lay the ground for two improvements to these models.The…
We consider stochastic growth models for populations organized in colonies and subject to uniform catastrophes. To assess population viability, we analyze scenarios in which individuals adopt dispersion strategies after catastrophic events.…