Related papers: Event-Based Limit Order Book Simulation under a Ne…
We propose a novel framework for modeling multiple multivariate point processes, each with heterogeneous event types that share an underlying space and obey the same generative mechanism. Focusing on Hawkes processes and their variants that…
We consider the learning dynamics of a single reinforcement learning optimal execution trading agent when it interacts with an event driven agent-based financial market model. Trading takes place asynchronously through a matching engine in…
We present an extended version of the recently proposed "LLOB" model for the dynamics of latent liquidity in financial markets. By allowing for finite cancellation and deposition rates within a continuous reaction-diffusion setup, we…
Order book imbalance (OBI) - buy orders minus sell orders near the best quote - measures supply-demand imbalance that can move prices. OBI is positively correlated with returns, and some investors try to use it to improve performance. Large…
An extension of the Hawkes process, the Marked Hawkes process distinguishes itself by featuring variable jump size across each event, in contrast to the constant jump size observed in a Hawkes process without marks. While extensive…
We consider a sequential decision making problem where the agent faces the environment characterized by the stochastic discrete events and seeks an optimal intervention policy such that its long-term reward is maximized. This problem exists…
This paper consists of two parts. The first part is devoted to empirical analysis of consolidated order book (COB) for the index RTS futures. In the second part we consider Poissonian multi--agent model of the COB. By varying parameters of…
The Hawkes model is a past-dependent point process, widely used in various fields for modeling temporal clustering of events. Extending this framework, the multidimensional marked Hawkes process incorporates multiple interacting event types…
We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for…
Our goal is to $\textit{efficiently}$ discover a compact set of temporal logic rules to explain irregular events of interest. We introduce a neural-symbolic rule induction framework within the temporal point process model. The negative…
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…
Market information events are generated intermittently and disseminated at high speeds in real-time. Market participants consume this high-frequency data to build limit order books, representing the current bids and offers for a given…
This paper is based on a case study of an IT organization in a large, US-based healthcare provider, and develops simluation models to identify areas for performance improvement. These organizations are often grouped into departments by…
The existing publications demonstrate that the limit order book data is useful in predicting short-term volatility in stock markets. Since stocks are not independent, changes on one stock can also impact other related stocks. In this paper,…
We present a class of macroscopic models of the Limit Order Book to simulate the aggregate behaviour of market makers in response to trading flows. The resulting models are solved numerically and asymptotically, and a class of similarity…
High-fidelity, scalable market simulation is a key instrument for mechanism evaluation, stress testing, and counterfactual policy analysis. Yet existing simulators rarely achieve \emph{mechanism fidelity} beyond single-asset intraday…
Hawkes Processes are a type of point process which models self-excitement among time events. It has been used in a myriad of applications, ranging from finance and earthquakes to crime rates and social network activity analysis.Recently, a…
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and…
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…
Predictive business process monitoring focuses on predicting future characteristics of a running process using event logs. The foresight into process execution promises great potentials for efficient operations, better resource management,…