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

Motivated by applications to mathematical biology, we study the averaging problem for slow-fast systems, {\em in the case in which the fast dynamics is a stochastic process with multiple invariant measures}. We consider both the case in…

Order book dynamics play an important role in both execution time and price formation of orders in an exchange market. In this study, we aim to model the limit order arrival rates in the vicinity of the best bid and the best ask price…

Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an…

We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored orders (granularity $g$) as a proxy for liquidity. This leads to…

We consider a statistical limit of solutions to the compressible Navier--Stokes system in the high Reynolds number regime in a domain exterior to a rigid body. We investigate to what extent this highly turbulent regime can be modeled by an…

We propose a general non-linear order book model that is built from the individual behaviours of the agents. Our framework encompasses Markovian and Hawkes based models. Under mild assumptions, we prove original results on the ergodicity…

Using simple particle models of limit order markets, we argue that mid-term over-diffusive price behaviour is inherent to the very nature of these markets. Several rules for rate changes are considered. We obtain analytical results for…

In this article we study the scaling limit of the interface model on $\mathbb{Z}^d$ where the Hamiltonian is given by a mixed gradient and Laplacian interaction. We show that in any dimension the scaling limit is given by the Gaussian free…

The Tick library allows researchers in market microstructure to simulate and learn Hawkes process in high-frequency data, with optimized parametric and non-parametric learners. But one challenge is to take into account the correct causality…

In this paper we construct high order finite volume schemes on networks of hyperbolic conservation laws with coupling conditions involving ODEs. We consider two generalized Riemann solvers at the junction, one of Toro-Castro type and a…

We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique process the duration of the transaction and the…

In this paper, we introduce a parametrized family of prices derived from the Maximum Entropy Principle. The price is obtained from the distribution that minimizes bias, given the bid and ask volume imbalance at the top of the order book.…

The universal behaviour of the directed percolation universality class is well understood, both the critical scaling as well as finite size scaling. This article focuses on the block (finite size) scaling of the order parameter and its…

We present a study of dynamical scaling and front motion in a one dimensional system that describes Rayleigh-Benard convection in a rotating cell. We use a model of three competing modes proposed by Busse and Heikes to which spatial…

We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U.S. stocks. We show that, over short time intervals, price changes are mainly driven by the order flow…

We study a triple singular limit for the scaled barotropic Navier-Stokes system modeling the motion of a rotating, compressible, and viscous fluid, where the Mach and Rossby numbers are proportional to a small parameter, while the Reynolds…

In the framework of the trap-size scaling theory, we study the scaling properties of the Bose-Hubbard model in two dimensions in the presence of a trapping potential at finite temperature. In particular, we provide results for the particle…

We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the averaged LOB…

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…

We present a finite volume method that is applicable to hyperbolic PDEs including spatially varying and semilinear nonconservative systems. The spatial discretization, like that of the well-known Clawpack software, is based on solving…