Related papers: Simulating and analyzing a sparse order book: an a…
In the following paper, we analyse the ID$_3$-Price in the German Intraday Continuous electricity market using an econometric time series model. A multivariate approach is conducted for hourly and quarter-hourly products separately. We…
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…
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…
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…
We study an optimal portfolio problem designed for an agent operating in intraday electricity markets. The investor is allowed to trade in a single risky asset modelling the continuously traded power and aims to maximize the expected…
We develop a sparse autologistic model for investigating the impact of diversification and disintermediation strategies in the evolution of financial trading networks. In order to induce sparsity in the model estimates and address…
This article presents a Hawkes process model with Markovian baseline intensities for high-frequency order book data modeling. We classify intraday order book trading events into a range of categories based on their order types and the price…
The new technologies emerging in the energy sector pose new requirements for both the regulation and operation of the electricity grid. Revised tariff structures and the introduction of local markets are two approaches that could tackle the…
The ATLAS model simulates the various stages of the electricity market chain in Europe, including the formulation of offers by different market actors, the coupling of European markets, strategic optimization of production portfolios and,…
Intra-day price variations in financial markets are driven by the sequence of orders, called the order flow, that is submitted at high frequency by traders. This paper introduces a novel application of the Sequence Generative Adversarial…
In this paper we develop a new form of agent-based model for limit order books based on heterogeneous trading agents, whose motivations are liquidity driven. These agents are abstractions of real market participants, expressed in a…
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling…
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize…
The ATLAS model simulates the various stages of the electricity market chain in Europe, including the formulation of offers by different market actors, the coupling of European markets, strategic optimization of production portfolios and,…
We demonstrate the synthesis of sparse sampling and machine learning to characterize and model complex, nonlinear dynamical systems over a range of bifurcation parameters. First, we construct modal libraries using the classical proper…
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…
The increasing interest in demand-side management (DSM) as part of the energy cost optimization calls for effective methods to determine representative electricity prices for energy optimization and scheduling investigations. We propose a…
In this paper, we propose a complete modelling framework to value several batteries in the electricity intraday market at the trading session scale. The model consists of a stochastic model for the 24 mid-prices (one price per delivery…
It has been suggested that marked point processes might be good candidates for the modelling of financial high-frequency data. A special class of point processes, Hawkes processes, has been the subject of various investigations in the…
We consider estimation of the spot volatility in a stochastic boundary model with one-sided microstructure noise for high-frequency limit order prices. Based on discrete, noisy observations of an It\^o semimartingale with jumps and general…