Related papers: Correlation emergence in two coupled simulated lim…
We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). Our model is flexible enough to allow for a dependence of the price dynamics on volumes. For the joint dynamics of best bid and ask prices and the…
In this research, we have empirically investigated the key drivers affecting liquidity in equity markets. We illustrated how theoretical models, such as Kyle's model, of agents' interplay in the financial markets, are aligned with the…
We study the effect of a weak random additive noise in a linear chain of N locally-coupled logistic maps at the edge of chaos. Maps tend to synchronize for a strong enough coupling, but if a weak noise is added, very intermittent…
This paper proposes an Extended State-Dependent Hawkes Process (ExsdHawkes) to model the intricate dynamics of Limit Order Books (LOBs). Our theoretical contribution lies in relaxing traditional constraints by allowing for state…
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…
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…
Positive feedback trading, which buys when prices rise and sells when prices fall, has long been criticized for being destabilizing as it moves prices away from the fundamentals. Motivated by the relationship between positive feedback…
Real-world content recommendation marketplaces exhibit certain behaviors and are imposed by constraints that are not always apparent in common static offline data sets. One example that is common in ad marketplaces is swift ad turnover. New…
Many commonly used liquidity measures are based on snapshots of the state of the limit order book (LOB) and can thus only provide information about instantaneous liquidity, and not regarding the local liquidity regime. However, trading in…
We consider a service system where agents (or, servers) are invited on-demand. Customers arrive as a Poisson process and join a customer queue. Customer service times are i.i.d. exponential. Agents' behavior is random in two respects.…
We study the effect of exponentially correlated noise on $xy-$model in the limit of small correlation time discussing the order-disorder transition in mean-field and the topological transition in two dimensions. We map the steady states of…
We prove limit theorems for the super-replication cost of European options in a Binomial model with friction. The examples covered are markets with proportional transaction costs and the illiquid markets. The dual representation for the…
We prove the existence of an equilibrium in a model with transaction costs and price impact where two agents are incentivized to trade towards a target. The two types of frictions -- price impact and transaction costs -- lead the agents to…
We show that the cost of market orders and the profit of infinitesimal market-making or -taking strategies can be expressed in terms of directly observable quantities, namely the spread and the lag-dependent impact function. Imposing that…
We propose a minimal model of the secured interbank network able to shed light on recent money markets puzzles. We find that excess liquidity emerges due to the interactions between the reserves and liquidity ratio constraints; the…
We extend a linear version of the liquidity risk model of Cetin et al. (2004) to allow for price impacts. We show that the impact of a market order on prices depends on the size of the transaction and the level of liquidity. We obtain a…
We study an online market-making problem in which a learner sequentially posts bid and ask prices for a single asset while interacting with traders holding private valuations. Unlike existing online learning formulations that assume fully…
Financial markets are complex systems characterized by high statistical noise, nonlinearity, volatility, and constant evolution. Thus, modeling them is extremely hard. Here, we address the task of generating realistic and responsive Limit…
We study the relaxation dynamics of the bid-ask spread and of the midprice after a sudden, large variation of the spread, corresponding to a temporary crisis of liquidity in a double auction financial market. We find that the spread decays…
This paper investigates a financial market where returns depend on an unobservable Gaussian drift process. While the observation of returns yields information about the underlying drift, we also incorporate discrete-time expert opinions as…