Related papers: A Novel Approach to Queue-Reactive Models: The Imp…
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 Queue-Reactive model introduced by Huang et al. (2015) has become a standard tool for limit order book modeling, widely adopted by both researchers and practitioners for its simplicity and effectiveness. We present the Multidimensional…
In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit order book. The models we propose thus integrate the…
We investigate the use of Reinforcement Learning for the optimal execution of meta-orders, where the objective is to execute incrementally large orders while minimizing implementation shortfall and market impact over an extended period of…
We introduce a practical, interactive simulator of the limit order book for large-tick assets, designed to produce realistic execution, costs, and P&L. The book state is projected onto a tractable representation based on spread and volume…
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…
The latent order book of \cite{donier2015fully} is one of the most promising agent-based models for market impact. This work extends the minimal model by allowing agents to exhibit mean-reversion, a commonly observed pattern in real…
We study the analytical properties of a one-side order book model in which the flows of limit and market orders are Poisson processes and the distribution of lifetimes of cancelled orders is exponential. Although simplistic, the model…
In this paper, we conduct a systematic large-scale analysis of order book-driven predictability in high-frequency returns by leveraging deep learning techniques. First, we introduce a new and robust representation of the order book, the…
We develop a cross-border market model for two countries based on a continuous trading mechanism, in which the transmission capacities that enable transactions between market participants from different countries are limited. Our market…
The article is an empirical study of market impact through order book events. It describes a mechanism of extracting an average participation rate and a market impact of small orders which represent individual slices of large metaorders.…
Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important for validation of hand-coded trading strategies and for…
Motivated by a zero-intelligence approach, the aim of this paper is to connect the microscopic (discrete price and volume), mesoscopic (discrete price and continuous volume) and macroscopic (continuous price and volume) frameworks for the…
Recent technological developments have changed the fundamental ways stock markets function, bringing regulatory instances to assess the benefits of these developments. In parallel, the ongoing machine learning revolution and its multiple…
Order positions are key variables in algorithmic trading. This paper studies the limiting behavior of order positions and related queues in a limit order book. In addition to the fluid and diffusion limits for the processes, fluctuations of…
An overview of the recursive equations based models and their applications in simulation based analysis and optimization of queueing systems is given. These models provide a variety of systems with a convenient and unified representation in…
We showcase how Quantile Regression (QR) can be applied to forecast financial returns using Limit Order Books (LOBs), the canonical data source of high-frequency financial time-series. We develop a deep learning architecture that…
This paper proposes a parametric approach for stochastic modeling of limit order markets. The models are obtained by augmenting classical perfectly liquid market models by few additional risk factors that describe liquidity properties of…
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…
Simulating limit order books (LOBs) has important applications across forecasting and backtesting for financial market data. However, deep generative models struggle in this context due to the high noise and complexity of the data. Previous…