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A multi-agent nonlinear Markov model of the order book
A multi-agent nonlinear Markov model order book
2012/9/14
We introduce and treat rigorously a new multi-agent model of the limit order book. Our model is designed to explain a behavior of the market when new information a ecting the market arrives. Our model...
Models for the impact of all order book events
price impact market orders limit orders cancellations market microstructure order flow
2011/7/19
We propose a general framework to describe the impact of different events in the order book,
that generalizes previous work on the impact of market orders. Two different modeling routes can be consid...
As the pricing mechanism in more than half the world's financial markets, the limit order book has recently been the focus of a great deal of published literature in a wide range of disciplines. In th...
"Market making" behaviour in an order book model and its impact on the bid-ask spread
Market making behaviour order book model impact bid-ask spread
2010/10/19
It has been suggested that marked point processes might be good candidates for the modelling of financial high-frequency data. A special class of point processes, Hawkes processes, has been the subje...
Critical comparison of several order-book models for stock-market fluctuations
order-book models stock-market fluctuations
2010/12/13
Far-from-equilibrium models of interacting particles in one dimension are used as a basis for modelling the stock-market fluctuations. Particle types and their positions are interpreted as buy and sel...