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

We construct a general procedure for the Quasi Likelihood Analysis applied to a multivariate point process on the real half line in an ergodic framework. More precisely, we assume that the stochastic intensity of the underlying model…

We propose an error-correcting model for the microprice, a high-frequency estimator of future prices given higher order information of imbalances in the orderbook. The model takes into account a current microprice estimate given the spread…

The distributions of $ N $-particle systems of Gaussian unitary ensembles converge to Sine$_2$ point processes under bulk-scaling limits. These scalings are parameterized by a macro-position $ \theta $ in the support of the semicircle…

We present limit theorems for a sequence of Piecewise Deterministic Markov Processes (PDMPs) taking values in a separable Hilbert space. This class of processes provides a rigorous framework for stochastic spatial models in which discrete…

We introduce and study a simple model of a limit order-driven market. Traders in this model can either trade at the market price or place a limit order, i.e. an instruction to buy (sell) a certain amount of the stock if its price falls…

We study the kinetics of domain growth of fluid mixtures quenched from a disordered to a lamellar phase. At low viscosities, in two dimensions, when hydrodynamic modes become important, dynamical scaling is verified in the form $C(\vec k,…

Going from a scaling approach for birth/death processes, we investigate the scaling limit of solutions to non-Markovian stochastic control problems by studying the convergence of solutions to BSDEs driven a sequence of converging…

We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before…

We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…

We investigate the fluctuations of the stochastic Becker-D\"oring model of polymerization when the initial size of the system converges to infinity. A functional central limit problem is proved for the vector of the number of polymers of a…

We investigate present some new statistical properties of order books. We analyse data from the Nasdaq and investigate (a) the statistics of incoming limit order prices, (b) the shape of the average order book, and (c) the typical life time…

This study deals with continuous limits of interacting one-dimensional diffusive systems, arising from stochastic distortions of discrete curves with various kinds of coding representations. These systems are essentially of a…

In the domain of the so called Econophysics some attempts already have been made for applying the theory of Thermodynamics and Statistical Mechanics to economics and financial markets. In this paper a similar approach is made from a…

We study the cause of large fluctuations in prices in the London Stock Exchange. This is done at the microscopic level of individual events, where an event is the placement or cancellation of an order to buy or sell. We show that price…

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…

The objective of this dissertation is to prove a scaling limit for the exit of a domain problem of a small noise system with underlying hyperbolic dynamics. In this case, Large Deviation kind of estimates fail to provide a complete picture…

We introduce a second-order stochastic model to explore the variability in growth of biological shapes with applications to medical imaging. Our model is a perturbation with a random force of the Hamiltonian formulation of the geodesics.…

Motivated by optimization with differential equations, we consider optimization problems with Hilbert spaces as decision spaces. As a consequence of their infinite dimensionality, the numerical solution necessitates finite dimensional…

Hawkes processes were first introduced to obtain microscopic models for the rough volatility observed in asset prices. Scaling limits of such processes leads to the rough-Heston model that describes the macroscopic behavior. Blanc et al.…

In this article, we delve into the applications and extensions of the queue-reactive model for the simulation of limit order books. Our approach emphasizes the importance of order sizes, in conjunction with their type and arrival rate, by…