Related papers: A Real-Time Limit Order Book as a Market Mechanism…
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…
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…
This paper proposes a market clearing mechanism for energy trading in a local transactive market, where each player can participate in the market as seller or buyer and tries to maximize its welfare individually. Market players send their…
Regulators and utilities have been exploring hourly retail electricity pricing, with several existing programs providing day-ahead hourly pricing schedules. At the same time, customers are deploying distributed energy resources and smart…
Limit Order Books (LOBs) serve as a mechanism for buyers and sellers to interact with each other in the financial markets. Modelling and simulating LOBs is quite often necessary for calibrating and fine-tuning the automated trading…
We propose a unified mean-field framework that bridges the dynamics of informal financial markets and formal markets governed by Limit Order Books (LOBs). Both settings are modeled as interacting particle systems on a 1D price lattice, with…
This paper presents a novel model for simulating and analyzing sparse limit order books (LOBs), with a specific application to the European intraday electricity market. In illiquid markets, characterized by significant gaps between order…
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…
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 electronic trading markets, limit order books (LOBs) provide information about pending buy/sell orders at various price levels for a given security. Recently, there has been a growing interest in using LOB data for resolving downstream…
A real-time optimal dispatch method for unbundle electricity markets is proposed in this paper. With this method, pool energy auction market, ancillary services market, and bilateral contract market can be coordinated by the ISO through a…
We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible…
This paper proposes a novel continuous Local Flexibility Market where active power flexibility located in the distribution system can be traded. The market design engages the Market Operator, the Distribution System Operator and Market…
Future electricity distribution grids will host a considerable share of variable renewable energy sources and local storage resources. Moreover, they will face new load structures due for example to the growth of the electric vehicle…
We propose a limit order book (LOB) model with dynamics that account for both the impact of the most recent order and the shape of the LOB. We present an empirical analysis showing that the type of the last order significantly alters the…
We develop a large-scale deep learning model to predict price movements from limit order book (LOB) data of cash equities. The architecture utilises convolutional filters to capture the spatial structure of the limit order books as well as…
In an order-driven financial market, the price of a financial asset is discovered through the interaction of orders - requests to buy or sell at a particular price - that are posted to the public limit order book (LOB). Therefore, LOB data…
With the development of the smart grid concept and the increasing expansion of advanced communication and measurement equipment, consumers can actively participate in the power system operation. The intelligent use of these facilities…
Future electricity distribution grids will host a considerable share of the renewable energy sources needed for enforcing the energy transition. Demand side management mechanisms play a key role in the integration of such renewable energy…
With the proliferation of algorithmic high-frequency trading in financial markets, the Limit Order Book has generated increased research interest. Research is still at an early stage and there is much we do not understand about the dynamics…