相关论文: The role of volume in order book dynamics: a multi…

In this paper, we attempt to detect an inflection or change-point resulting from the Covid-19 pandemic on supply chain data received from a large furniture company. To accomplish this, we utilize a modified CUSUM (Cumulative Sum) procedure…

Limit order book (LOB) is a dynamic, event-driven system that records real-time market demand and supply for a financial asset in a stream flow. Event stream prediction in LOB refers to forecasting both the timing and the type of events.…

Many networks have event-driven dynamics (such as communication, social media and criminal networks), where the mean rate of the events occurring at a node in the network changes according to the occurrence of other events in the network.…

Hawkes processes are a class of simple point processes that are self-exciting and have clustering effect, with wide applications in finance, social networks and many other fields. This paper considers a self-exciting Hawkes process where…

In the present work we demonstrate the application of different physical methods to high-frequency or tick-by-tick financial time series data. In particular, we calculate the Hurst exponent and inverse statistics for the price time series…

Understanding the micro-dynamics of asset prices in modern electronic order books is crucial for investors and regulators. In this paper, we use an order by order Eurostoxx database spanning over 3 years to analyze the joint dynamics of…

Limit Order Books (LOBs) serve as a mechanism for buyers and sellers to interact with each other in the financial markets. Modelling and simulating LOBs is quite often necessary for calibrating and fine-tuning the automated trading…

This paper introduces the Hawkes skeleton and the Hawkes graph. These objects summarize the branching structure of a multivariate Hawkes point process in a compact, yet meaningful way. We demonstrate how graph-theoretic vocabulary…

Order placement tactics play a crucial role in high-frequency trading algorithms and their design is based on understanding the dynamics of the order book. Using high quality high-frequency data and a set of microstructural features, we…

While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce. We provide here an empirical study of…

A Hawkes process model with a time-varying background rate is developed for analyzing the high-frequency financial data. In our model, the logarithm of the background rate is modeled by a linear model with a relatively large number of…

In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. Agents are assumed to have three components to the expectation of future asset…

A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that…

In this work, we present a continuous-time large-population game for modeling market microstructure betweentwo consecutive trades. The proposed modeling framework is inspired by our previous work [23]. In this framework, the Limit Order…

Probabilistic intraday electricity price forecasting is becoming increasingly important for short-term power-system operation. With increasing renewable generation, demand-side flexibility, and storage assets, market participants need to…

We exploit cutting-edge deep learning methodologies to explore the predictability of high-frequency Limit Order Book mid-price changes for a heterogeneous set of stocks traded on the NASDAQ exchange. In so doing, we release `LOBFrame', an…

Hawkes processes are a class of self-exciting point processes that are used to model complex phenomena. While most applications of Hawkes processes assume that event data occurs in continuous-time, the less-studied discrete-time version of…

This report presents a novel approach to calculate volumes of trains from a set of requirements describing the transportation demands. The model presented is based on a multi commodity network flow model. The model comprises three different…

In this work we propose and analyze a new Hybrid High-Order method for the Brinkman problem for fluids with power-law viscosity. The proposed method supports general meshes and arbitrary approximation orders and is robust in all regimes,…

We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the orderbook. This includes limit orders being placed outside of…