交易与市场微观结构

The three-state agent-based 2D model of financial markets as proposed by Giulia Iori has been extended by introducing increasing trust in the correctly predicting agents, a more realistic consultation procedure as well as a formal…

The three-state agent-based 2D model of financial markets in the version proposed by Giulia Iori in 2002 has been herein extended. We have introduced the increase of herding behaviour by modelling the altering trust of an agent in his…

The market impact (MI) of Volume Weighted Average Price (VWAP) orders is a convex function of a trading rate, but most empirical estimates of transaction cost are concave functions. How is this possible? We show that isochronic (constant…

This paper studies an environment of simultaneous, separate, first-price auctions for complementary goods. Agents observe private values of each good before making bids, and the complementarity between goods is explicitly incorporated in…

High Frequency Trading (HFT) represents an ever growing proportion of all financial transactions as most markets have now switched to electronic order book systems. The main goal of the paper is to propose continuous time equations which…

When executing their orders, investors are proposed different strategies by brokers and investment banks. Most orders are executed using VWAP algorithms. Other basic execution strategies include POV (also called PVol) -- for percentage of…

We examine the dynamics of the bid and ask queues of a limit order book and their relationship with the intensity of trade arrivals. In particular, we study the probability of price movements and trade arrivals as a function of the quote…

Nearly one-half of all trades in financial markets are executed by high-speed, autonomous computer programs -- a type of trading often called high-frequency trading (HFT). Although evidence suggests that HFT increases the efficiency of…

In this note, we present an existence result of a Nash equilibrium between electricity producers selling their production on an electricity market and buying CO2 emission allowances on an auction carbon market. The producers' strategies…

A new multiagent model of the stock market is formulated that contains four states in which the agents may be located. Next, the model is reformulated in the language of the functional integral containing fluctuations of prices and…

We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…

In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…

We derive a continuous time model for the joint evolution of the mid price and the bid-ask spread from a multiscale analysis of the whole limit order book (LOB) dynamics. We model the LOB as a multiclass queueing system and perform our…

We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of…

Optimal execution of portfolio transactions is the essential part of algorithmic trading. In this paper we present in simple analytical form the optimal trajectory for risk-averse trader with the assumption of exponential market recovery…

We make several improvements to the mean-variance framework for optimal pre-trade algorithmic execution, by working with volume measures and generic price dynamics. Volume measures are the continuum analogies for discrete volume profiles…

Motivated by empirical data, we develop a statistical description of the queue dynamics for large tick assets based on a two-dimensional Fokker-Planck (diffusion) equation, that explicitly includes state dependence, i.e. the fact that the…

We propose a formula of time-series prediction by means of three states random field Ising model (RFIM). At the economic crisis due to disasters or international disputes, the stock price suddenly drops. The macroscopic phenomena should be…

Using a two-point correlation technique, we study emergence of market efficiency in the emergent Russian futures market by focusing on lagged correlations. The correlation strength of leader-follower effects in the lagged inter-market…

We study trade-based manipulation of stock prices from the perspective of complex trading networks constructed by using detailed information of trades. A stock trading network consists of nodes and directed links, where every trader is a…