Related papers: Diffusion Limit of Poisson Limit-Order Book Models
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We propose a parametric model for the simulation of limit order books. We assume that limit orders, market orders and cancellations are submitted according to point processes with state-dependent intensities. We propose new functional forms…
We establish concentration inequalities in the class of ultra log-concave distributions. In particular, we show that ultra log-concave distributions satisfy Poisson concentration bounds. As an application, we derive concentration bounds for…
Real data are constrained to finite sampling rates, which calls for a suitable mathematical description of the corrections to the finite-time estimations of the dynamic equations. Often in the literature, lower order discrete time…
We are concerned with scaling limits of the solutions to stochastic differential equations with stationary coefficients driven by Poisson random measures and Brownian motions. We state an annealed convergence theorem, in which the limit…
One popular approach to model the limit order books dynamics of the best bid and ask at level-1 is to use the reduced-form diffusion approximations. It is well known that the biggest contributing factor to the price movement is the…
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In this paper we study the properties of the Lasso estimator of the drift component in the diffusion setting. More specifically, we consider a multivariate parametric diffusion model $X$ observed continuously over the interval $[0,T]$ and…
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In this paper, we define a directed version of the Diffusion-Limited-Aggregation model. We present several equivalent definitions in finite volume and a definition in infinite volume. We obtain bounds on the speed of propagation of…