Related papers: The Limit Order Book Recreation Model (LOBRM): An …
We derive a continuous time model for the joint evolution of the mid price and the bid-ask spread from a multiscale analysis of the whole limit order book (LOB) dynamics. We model the LOB as a multiclass queueing system and perform our…
We present a reproducible research framework for market microstructure combining a deterministic C++ limit order book (LOB) simulator with stochastic order flow generated by multivariate marked Hawkes processes. The paper derives full…
Existing learned query optimizers remain ill-suited to modern distributed, multi-tenant data warehouses due to idealized modeling assumptions and design choices. Using Alibaba's MaxCompute as a representative, we surface four fundamental,…
We showcase how dropout variational inference can be applied to a large-scale deep learning model that predicts price movements from limit order books (LOBs), the canonical data source representing trading and pricing movements. We…
Many commonly used liquidity measures are based on snapshots of the state of the limit order book (LOB) and can thus only provide information about instantaneous liquidity, and not regarding the local liquidity regime. However, trading in…
A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institutions can only access the trading opportunities offered by counterparties with whom they possess sufficient bilateral credit. We perform an…
We investigate the behavior of limit order books on the meso-scale motivated by order execution scheduling algorithms. To do so we carry out empirical analysis of the order flows from market and limit order submissions, aggregated from…
We introduce a novel large-scale deep learning model for Limit Order Book mid-price changes forecasting, and we name it `HLOB'. This architecture (i) exploits the information encoded by an Information Filtering Network, namely the…
We present a class of macroscopic models of the Limit Order Book to simulate the aggregate behaviour of market makers in response to trading flows. The resulting models are solved numerically and asymptotically, and a class of similarity…
Market by order (MBO) data - a detailed feed of individual trade instructions for a given stock on an exchange - is arguably one of the most granular sources of microstructure information. While limit order books (LOBs) are implicitly…
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 investigate whether the bid/ask queue imbalance in a limit order book (LOB) provides significant predictive power for the direction of the next mid-price movement. We consider this question both in the context of a simple binary…
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…
We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the averaged LOB…
We consider a stochastic lost-sales inventory control system with a lead time $L$ over a planning horizon $T$. Supply is uncertain, and is a function of the order quantity (due to random yield/capacity, etc). We aim to minimize the…
Logical reasoning is a critical benchmark for evaluating the capabilities of large language models (LLMs), as it reflects their ability to derive valid conclusions from given premises. While the combination of test-time scaling with…
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…
The recent advancements in Deep Learning (DL) research have notably influenced the finance sector. We examine the robustness and generalizability of fifteen state-of-the-art DL models focusing on Stock Price Trend Prediction (SPTP) based on…
Large Reasoning Models (LRMs) employ reasoning to address complex tasks. Such explicit reasoning requires extended context lengths, resulting in substantially higher resource consumption. Prior work has shown that adversarially crafted…
Financial exchanges provide incentives for limit order book (LOB) liquidity provision to certain market participants, termed designated market makers or designated sponsors. While quoting requirements typically enforce the activity of these…