相关论文: A Scaling Limit for Limit Order Books Driven by Ha…

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.…

The growth of striped order resulting from a quench of the two-dimensional Swift-Hohenberg model is studied in the regime of a small control parameter and quenches to zero temperature. We introduce an algorithm for finding and identifying…

Hawkes processes have seen a number of applications in finance, due to their ability to capture event clustering behaviour typically observed in financial systems. Given a calibrated Hawkes process, of concern is the statistical fit to…

We present a framework for analyzing the exact dynamics of a class of online learning algorithms in the high-dimensional scaling limit. Our results are applied to two concrete examples: online regularized linear regression and principal…

This paper deals with a class of neural SDEs and studies the limiting behavior of the associated sampled optimal control problems as the sample size grows to infinity. The neural SDEs with $N$ samples can be linked to the $N$-particle…

The modeling of the limit order book is directly related to the assumptions on the behavior of real market participants. This paper is twofold. We first present empirical findings that lay the ground for two improvements to these models.The…

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,…

In order-driven markets, limit-order book (LOB) resiliency is an important microscopic indicator of market quality when the order book is hit by a liquidity shock and plays an essential role in the design of optimal submission strategies of…

Diffusion limits of MCMC methods in high dimensions provide a useful theoretical tool for studying computational complexity. In particular, they lead directly to precise estimates of the number of steps required to explore the target…

We consider a sequence of Hawkes processes whose excitation measures may depend on the generation, and study its scaling limits in the near-unstable limiting regime. The limiting random measures, characterized via a nonlinear convolutional…

We present a new limiter method for solving the advection equation using a high-order, finite-volume discretization. The limiter is based on the flux-corrected transport algorithm. We modify the classical algorithm by introducing a new…

This paper poses a few fundamental questions regarding the attributes of the volume profile of a Limit Order Books stochastic structure by taking into consideration aspects of intraday and interday statistical features, the impact of…

This study explores the application of Hawkes processes to model high-frequency data in the context of limit order books. Two distinct Hawkes-based models are proposed and analyzed: one utilizing exponential kernels and the other employing…

This paper studies the effect of an overdispersed arrival process on the performance of an infinite-server system. In our setup, a random environment is modeled by drawing an arrival rate $\Lambda$ from a given distribution every $\Delta$…

Tick-sizes not only influence the granularity of the price formation process but also affect market agents' behavior. We investigate the disparity in the microstructural properties of the Limit Order Book (LOB) across a basket of assets…

Statistical and dynamical characters of stock markets have been extensively studied, which now is providing the firm basis for econophysics and its application as ``stylized facts''. However, most of those studies are for markets under the…

We consider systems of diffusion processes ("particles") interacting through their ranks (also referred to as "rank-based models" in the mathematical finance literature). We show that, as the number of particles becomes large, the process…

We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which is the centralized order book market of London Stock…

We consider an infinite-dimensional stochastic clustering model on $\mathbb{R}$. In discrete time, each point of a unit-intensity simple point process moves halfway toward either of its left or right neighbors, chosen uniformly at random.…

We extend a Discrete Time Random Walk (DTRW) numerical scheme to simulate the anomalous diffusion of financial market orders in a simulated order book. Here using random walks with Sibuya waiting times to include a time-dependent stochastic…