Related papers: Correlation emergence in two coupled simulated lim…
We seek explanation for the neurophysiological phenomenon of event related desynchronization (ERD) by using models of diffusively coupled nonlinear oscillators. We demonstrate that when the strength of the event is sufficient, ERD is found…
Order book dynamics play an important role in both execution time and price formation of orders in an exchange market. In this study, we aim to model the limit order arrival rates in the vicinity of the best bid and the best ask price…
I introduce an agent-based model of a Perpetual Futures market with heterogeneous agents trading via a central limit order book. Perpetual Futures (henceforth Perps) are financial derivatives introduced by the economist Robert Shiller,…
A finite element approach to the elastic flow of a curve coupled with a diffusion equation on the curve is analysed. Considering the graph case, the problem is weakly formulated and approximated with continuous linear finite elements, which…
In this work, we report the emergence of extreme events in a damped and driven velocity-dependent mechanical system. We observe that the extreme events emerge at multiple points. We further notice that the extreme events occur symmetrically…
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.…
In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…
Continuous double auctions such as the limit order book employed by exchanges are widely used in practice to match buyers and sellers of a variety of financial instruments. In this work, we develop an agent-based model for trading in a…
Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law…
We propose a simple stochastic model for the dynamics of a limit order book, extending the recent work of Cont and de Larrard (2013), where the price dynamics are endogenous, resulting from market transactions. We also show that the…
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.…
We investigate present some new statistical properties of order books. We analyse data from the Nasdaq and investigate (a) the statistics of incoming limit order prices, (b) the shape of the average order book, and (c) the typical life time…
Modern financial exchanges use an electronic limit order book (LOB) to store bid and ask orders for a specific financial asset. As the most fine-grained information depicting the demand and supply of an asset, LOB data is essential in…
In another paper (Butterfield 2011), one of us argued that emergence and reduction are compatible, and presented four examples illustrating both. The main purpose of this paper is to develop this position for the example of phase…
Diffusion of electrons in two-dimensional disordered systems with spin-orbit interactions is investigated numerically. Asymptotic behaviors of the second moment of the wave packet and of the temporal auto-correlation function are examined.…
We propose a parametric model for the simulation of limit order books. We assume that limit orders, market orders and cancellations are submitted according to point processes with state-dependent intensities. We propose new functional forms…
Financial markets exhibit an apparent paradox: while directional price movements remain largely unpredictable--consistent with weak-form efficiency--the magnitude of price changes displays systematic structure. Here we demonstrate that…
We introduce a new stochastic model for the variations of asset prices at the tick-by-tick level in dimension 1 (for a single asset) and 2 (for a pair of assets). The construction is based on marked point processes and relies on linear self…
We study the correlation and response dynamics of trap models of glassy dynamics, considering observables that only partially decorrelate with every jump. This is inspired by recent work on a microscopic realization of such models, which…
We develop a model for point processes on the real line, where the intensity can be locally unbounded without inducing an explosion. In contrast to an orderly point process, for which the probability of observing more than one event over a…