Related papers: A mathematical framework for modelling order book …
We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a…
The problem of load balancing in a distribution network under unknown time- varying demand and supply is studied. A set of distributed controllers which regulate the amount of flow through the edges is designed to guarantee convergence of…
This paper introduces a discrete limit order book model where new orders are placed with a fixed displacement from the mid-price. Further, the trade event occurs whenever the mid-price hits the price level on which there is some volume.…
In this work we present an integrated computational pipeline involving several model order reduction techniques for industrial and applied mathematics, as emerging technology for product and/or process design procedures. Its data-driven…
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order…
We consider the following Markovian dynamic on point processes: at constant rate and with equal probability, either the rightmost atom of the current configuration is removed, or a new atom is added at a random distance from the rightmost…
We introduce and treat rigorously a new multi-agent model of the continuous double auction or in other words the order book (OB). It is designed to explain collective behaviour of the market when new information affecting the market…
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I develop a quantitative theory for the…
This work develops a rigorous mathematical formulation of proton transport by integrating both deterministic and stochastic perspectives. The deterministic framework is based on the Boltzmann-Fokker-Planck equation, formulated as an…
In this paper, we propose an event-driven Limit Order Book (LOB) model that captures twelve of the most observed LOB events in exchange-based financial markets. To model these events, we propose using the state-of-the-art Neural Hawkes…
Turbulent dynamical systems characterized by both a high-dimensional phase space and a large number of instabilities are ubiquitous among many complex systems in science and engineering. The existence of a strange attractor in the turbulent…
This work presents a generative pre-trained transformer (GPT) designed for modeling financial time series. The GPT functions as an order generation engine within a discrete event simulator, enabling realistic replication of limit order book…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
We describe a novel framework for discrete choice modeling and price optimization for settings where scheduled service options (often hierarchical) are offered to customers, which is applicable across many businesses including some within…
We formulate the predicted-updates dynamic model, one of the first beyond-worst-case models for dynamic algorithms, which generalizes a large set of well-studied dynamic models including the offline dynamic, incremental, and decremental…
This paper studies a limit order book (LOB) model, in which the order dynamics depend on both, the current best available prices and the current volume density functions. For the joint dynamics of the best bid price, the best ask price, and…
When modelling stock market dynamics, the price formation is often based on an equilbrium mechanism. In real stock exchanges, however, the price formation is goverend by the order book. It is thus interesting to check if the resulting…
We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that…
Given the combined evidences of bounded rationality, limited information and short-term optimization, over-the-counter (OTC) fresh product markets provide a perfect instance where to develop a behavioural approach to the analysis of…
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly…