Related papers: Multi-dimensional queue-reactive model and signal-…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
We discuss the two-dimensional motion of a Brownian particle that is confined to a harmonic trap and driven by a shear flow. The surrounding medium induces memory effects modelled by a linear, typically nonreciprocal coupling of the…
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…
In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit order book. The models we propose thus integrate the…
We consider a stochastic control model driven by a fractional Brownian motion. This model is a formal approximation to a queueing network with an on-off input process. We study stochastic control problems associated with the long-run…
We investigate the use of Reinforcement Learning for the optimal execution of meta-orders, where the objective is to execute incrementally large orders while minimizing implementation shortfall and market impact over an extended period of…
We introduce a dynamic model in which a developer incrementally improves a product of uncertain quality over time, with the quality evolving as a controlled Brownian motion. At each moment in time, the developer can continue exploring by…
The classical linear Black--Scholes model for pricing derivative securities is a popular model in financial industry. It relies on several restrictive assumptions such as completeness, and frictionless of the market as well as the…
We study a financial market where the risky asset is modelled by a geometric It\^o-L\'{e}vy process, with a singular drift term. This can for example model a situation where the asset price is partially controlled by a company which…
We generalise the description of the dynamics of the order book of financial markets in terms of a Brownian particle embedded in a fluid of incoming, exiting and annihilating particles by presenting a model of the velocity on each side (buy…
Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We introduce a…
Recent studies have identified long-range dependence as a key feature in the dynamics of both mortality and interest rates. Building on this insight, we develop a novel bi-variate stochastic framework based on mixed fractional Brownian…
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…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
In this paper, we study the offline sequential feature-based pricing and inventory control problem where the current demand depends on the past demand levels and any demand exceeding the available inventory is lost. Our goal is to leverage…
The models studied in the steady state involve two queues which are served either by a single server whose speed depends on the number of jobs present, or by several parallel servers whose number may be controlled dynamically. Job service…
Data-driven modeling of non-Markovian dynamics is a recent topic of research with applications in many fields such as climate research, molecular dynamics, biophysics, or wind power modeling. In the frequently used standard Langevin…
In this article, we consider a continuous review (s, S) inventory system with failures of demand fulfillment (service) modeled as a Markov-modulated retrial queueing system. The inventory system features a single product that experiences…
We introduce a new class of continuous-time models of the stochastic volatility of asset prices. The models can simultaneously incorporate roughness and slowly decaying autocorrelations, including proper long memory, which are two stylized…
We propose a flexible stochastic framework for modeling the market share dynamics over time in a multiple markets setting, where firms interact within and between markets. Firms undergo stochastic idiosyncratic shocks, which contract their…