Related papers: From Zero-Intelligence to Queue-Reactive: Limit Or…
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing parallels between orders in the limit order book and…
We formulate a discrete-time Bayesian stochastic volatility model for high-frequency stock-market data that directly accounts for microstructure noise, and outline a Markov chain Monte Carlo algorithm for parameter estimation. The methods…
The limit order book (LOB) depicts the fine-grained demand and supply relationship for financial assets and is widely used in market microstructure studies. Nevertheless, the availability and high cost of LOB data restrict its wider…
In this paper we propose a dynamic model of Limit Order Book (LOB). The main feature of our model is that the shape of the LOB is determined endogenously by an expected utility function via a competitive equilibrium argument. Assuming zero…
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask…
This paper presents a new fast and robust algorithm that provides fuel-optimal impulsive control input sequences that drive a linear time-variant system to a desired state at a specified time. This algorithm is applicable to a broad class…
For linear systems, many data-driven control methods rely on the behavioral framework, using historical data of the system to predict the future trajectories. However, measurement noise introduces errors in predictions. When the noise is…
Predicting the minimum operating voltage ($V_{min}$) of chips stands as a crucial technique in enhancing the speed and reliability of manufacturing testing flow. However, existing $V_{min}$ prediction methods often overlook various sources…
We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson…
In high frequency trading, accurate prediction of Order Flow Imbalance (OFI) is crucial for understanding market dynamics and maintaining liquidity. This paper introduces a hybrid predictive model that combines Vector Auto Regression (VAR)…
Realized statistics based on high frequency returns have become very popular in financial economics. In recent years, different non-parametric estimators of the variation of a log-price process have appeared. These were developed by many…
We propose a new model for the level I of a Limit Order Book (LOB), which incorporates the information about the standing orders at the opposite side of the book after each price change and the arrivals of new orders within the spread. Our…
In this paper, we are interested in testing if the volatility process is constant or not during a given time span by using high-frequency data with the presence of jumps and microstructure noise. Based on estimators of integrated volatility…
Variational hybrid quantum-classical optimization represents one of the most promising avenue to show the advantage of nowadays noisy intermediate-scale quantum computers in solving hard problems, such as finding the minimum-energy state of…
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust to market microstructure frictions. For the test, local…
We consider the problem of testing the parametric form of the volatility for high frequency data. It is demonstrated that in the presence of microstructure noise commonly used tests do not keep the preassigned level and are inconsistent.…
We derive a feasible criterion for the bias-optimal selection of the tuning parameters involved in estimating the integrated volatility of the spot volatility via the simple realized estimator by Barndorff-Nielsen and Veraart (2009). Our…
The problem of estimating the $\mathcal{H}_\infty$-norm of an LTI system from noisy input/output measurements has attracted recent attention as an alternative to parameter identification for bounding unmodeled dynamics in robust control. In…
Inventory and queueing systems are often designed by controlling weighted combination of some time-averaged performance metrics (like cumulative holding, shortage, server-utilization or congestion costs); but real-world constraints, like…
Understanding the micro-dynamics of asset prices in modern electronic order books is crucial for investors and regulators. In this paper, we use an order by order Eurostoxx database spanning over 3 years to analyze the joint dynamics of…