相关论文: Mean-field approximation for a limit order driven …

In this work, we develop an equilibrium model for price formation of securities in a market composed of two populations of different types: the first one consists of cooperative agents, while the other one consists of non-cooperative…

We establish a first and second-order approximation for an infinite dimensional limit order book model (LOB) in a single (''critical'') scaling regime where market and limit orders arrive at a common time scale. With our choice of scaling…

We propose a model for a market which structure is of the tree form. Each branch of the tree is composed by identical firms, its root (the branch of the first level) is formed by the firms producing raw material, and the branches of the…

We present a unified dynamical mean-field theory for stochastic self-organized critical models. We use a single site approximation and we include the details of different models by using effective parameters and constraints. We identify the…

We study the mean-field limit for a class of agent-based models describing flocking with nonlinear velocity alignment. Each agent interacts through a communication protocol $\phi$ and a non-linear coupling of velocities given by the power…

This paper introduces a new representation for the actions of a market maker in an order-driven market. This representation uses scaled beta distributions, and generalises three approaches taken in the artificial intelligence for market…

When modelling stock market dynamics, the price formation is often based on an equilbrium mechanism. In real stock exchanges, however, the price formation is goverend by the order book. It is thus interesting to check if the resulting…

We present a new microscopic stochastic model for an ensemble of interacting investors that buy and sell stocks in discrete time steps via limit orders based on individual forecasts about the price of the stock. These orders determine the…

Managing the prediction of metrics in high-frequency financial markets is a challenging task. An efficient way is by monitoring the dynamics of a limit order book to identify the information edge. This paper describes the first publicly…

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…

This paper studies the fill probabilities of limit orders placed at different price levels in a limit order book. These probabilities play a central role in execution optimization, as limit orders are not guaranteed to be executed and…

Existence and uniqueness of solutions to the multi-dimensional mean-field Libor market model (introduced by [7]) is shown. This is used as the basis for a numerical asset-liability management (ALM) model capable of calculating future…

Mean-field models approximate large stochastic systems by simpler differential equations that are supposed to approximate the mean of the larger system. It is generally assumed that as the stochastic systems get larger (i.e., more people or…

The well-posedness of a multi-population dynamical system with an entropy regularization and its convergence to a suitable mean-field approximation are proved, under a general set of assumptions. Under further assumptions on the evolution…

In this paper, we establish a fluid limit for a two--sided Markov order book model. Our main result states that in a certain asymptotic regime, a pair of measure-valued processes representing the "sell-side shape" and "buy-side shape" of an…

Recent empirical studies have demonstrated long-memory in the signs of orders to buy or sell in financial markets [2, 19]. We show how this can be caused by delays in market clearing. Under the common practice of order splitting, large…

We propose a class of Markovian agent based models for the time evolution of a share price in an interactive market. The models rely on a microscopic description of a market of buyers and sellers who change their opinion about the stock…

The paper is concerned with the approximation of the deterministic the mean field type control system by a mean field Markov chain. It turns out that the dynamics of the distribution in the approximating system is described by a system of…

We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). In this context, the limit orders, market orders, and cancel orders arrivals in the LOB are…

A Mean-Field theory is presented and applied to a Cellular Automata model of distributed packet-switched networks. It is proved that, under a certain set of assumptions, the critical input traffic is inversely proportional to the free…