Related papers: A Novel Approach to Queue-Reactive Models: The Imp…

Queueing-inventory systems are integrated systems consisting of two emerging fields in applied probability, namely "Queues" and "Inventory". In this paper, we present a comprehensive review of the theory and applications of…

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…

In many domains generating variable length sequences through insertions provides greater flexibility over autoregressive models. However, the action space of insertion models is much larger than that of autoregressive models (ARMs) making…

Queueing simulation studies often require substantial manual effort to translate conceptual system descriptions into executable programs and to verify that the implemented mechanisms match the intended queueing logic. Although large…

This paper focuses on some simple models of limit order book dynamics which simulate market trading mechanisms. We start with a discrete time/space Markov process and then perform a re-scaling procedure leading to a deterministic dynamical…

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…

For a widely used hub-and-spoke closed product-form network consisting of an infinite-server node and several single-server queues, we characterize the maximum queue-length distribution in various operational regimes by leveraging a novel…

The goal of this paper is to disentangle the roles of volume and of participation rate in the price response of the market to a sequence of transactions. To do so, we are inspired the methodology introduced in arXiv:1402.1288,…

We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…

Developing a generative model of realistic order flow in financial markets is a challenging open problem, with numerous applications for market participants. Addressing this, we propose the first end-to-end autoregressive generative model…

We introduce a Cox-type model for relative intensities of orders flows in a limit order book. The model assumes that all intensities share a common baseline intensity, which may for example represent the global market activity. Parameters…

While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce. We provide here an empirical study of…

We consider an extension of Discrete Time Markov Chain queueing model to the quantum domain by use of Discrete Time Quantum Markov Chain. We introduce methods for numerical analysis of such models. Using this tools we show that quantum…

The existing literature provides evidence that limit order book data can be used to predict short-term price movements in stock markets. This paper proposes a new neural network architecture for predicting return jump arrivals in equity…

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…

We build an agent-based model for the order book with three types of market participants: informed trader, noise trader and competitive market makers. Using a Glosten-Milgrom like approach, we are able to deduce the whole limit order book…

The Levy-Levy-Solomon model (A microscopic model of the stock market: cycles, booms, and crashes, Economic Letters 45 (1))is one of the most influential agent-based economic market models. In several publications this model has been…

We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique process the duration of the transaction and the…

Different kinds of models are used to study various natural and technical phenomena. Usually, the researcher is limited to using a certain kind of model approach, not using others (or even not realizing the existence of other model…

There is a growing body of research which has investigated relevance judgment in IR being influenced by multiple factors or dimensions. At the same time, the Order Effects in sequential decision making have been quantitatively detected and…