A stochastic model for order book dynamics

DOI10.1287/OPRE.1090.0780zbMATH Open1232.91719OpenAlexW3125796404MaRDI QIDQ3098255FDOQ3098255

Authors: Rama Cont, Sasha Stoikov, Rishi Talreja 

Publication date: 17 November 2011

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/5d023643ed13303e578025d6dccd16283cec53a2

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zbMATH Keywords

simulationlimit order bookqueueing systemsLaplace transform inversionfinancial engineering

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Queues and service in operations research (90B22)

Cited In (only showing first 100 items - show all)

• Modeling discrete stock price changes using a mixture of Poisson distributions
• Functional modelling of volatility in the Swedish limit order book
• Modeling high-frequency non-homogeneous order flows by compound Cox processes
• Robust filtering algorithm for Markov jump processes with high-frequency counting observations
• Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model
• Endogenous formation of limit order books: dynamics between trades
• The order book as a queueing system: average depth and influence of the size of limit orders
• HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
• The self-financing equation in limit order book markets
• Limits of Limit-Order Books
• Coupling limit order books and branching random walks
• Particle-scale modelling of financial price dynamics
• ON BOUNCING GEOMETRIC BROWNIAN MOTIONS
• High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration
• A stochastic Stefan-type problem under first-order boundary conditions
• Long-time behavior of a Hawkes process-based limit order book
• A weak law of large numbers for a limit order book model with fully state dependent order dynamics
• A correction note for price dynamics in a Markovian limit order market
• Analysis of a decision model in the context of equilibrium pricing and order book pricing
• Title not available (Why is that?)
• Algorithmic trading in a microstructural limit order book model
• Stationary distributions of continuous-time Markov chains: a review of theory and truncation-based approximations
• Optimization of stock trading with additional information by limit order book
• Clearing price distributions in call auctions
• Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
• Rebuilding the limit order book: sequential Bayesian inference on hidden states
• Regression models for double discrete distributions
• Queuing models with Mittag-Leffler inter-event times
• Approximate hedging for nonlinear transaction costs on the volume of traded assets
• The multi-dimensional stochastic Stefan financial model for a portfolio of assets
• A generalized birth-death stochastic model for high-frequency order book dynamics
• Limit order books
• Universal features of price formation in financial markets: perspectives from deep learning
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• Simulating and analyzing order book data: the queue-reactive model
• State-dependent Hawkes processes and their application to limit order book modelling
• Explicit asymptotic velocity of the boundary between particles and antiparticles
• Statistical inference for ergodic point processes and application to limit order book
• Optimal liquidation problem in illiquid markets
• Statistical theory of the continuous double auction
• Liquidation in limit order books with controlled intensity
• Optimal trade execution and price manipulation in order books with time-varying liquidity
• Explicit solution for constrained optimal execution problem with general correlated market depth
• A dynamic model of the limit order book
• Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
• A bidding game with heterogeneous players
• Optimal liquidity-based trading tactics
• Stock market trend prediction using a functional time series approach
• Diffusive behavior and the modeling of characteristic times in limit order executions
• Rigorous results for the Stigler-Luckock model for the evolution of an order book
• Equilibrium model of limit order books: a mean-field game view
• Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model
• Semi-Markov model for market microstructure
• Optimal liquidation in a level-I limit order book for large-tick stocks
• A Markov model of a limit order book: thresholds, recurrence, and trading strategies
• Limiting distribution for a simple model of order book dynamics
• The dynamic evolution of the limit order book driven by order flows
• Reduced form modeling of limit order markets
• A mathematical approach to order book modeling
• Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data
• When one stock share is a biological individual: a stylized simulation of the population dynamics in an order-driven market
• Risk metrics and fine tuning of high-frequency trading strategies
• Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
• Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models
• A stochastic partial differential equation model for limit order book dynamics
• Estimating doubly stochastic Poisson process with affine intensities by Kalman filter
• The role of volume in order book dynamics: a multivariate Hawkes process analysis
• Diffusion models for double-ended queues with renewal arrival processes
• Statistical properties of stock order books: empirical results and models
• Ergodicity and diffusivity of Markovian order book models: a general framework
• A semi-Markovian modeling of limit order markets
• Optimal auction duration: a price formation viewpoint
• Queueing dynamics and state space collapse in fragmented limit order book markets
• GARCH in spinor field
• Short-term stock price prediction based on limit order book dynamics
• Stochastic modelling of big data in finance
• Optimal inventory management and order book modeling
• Order execution probability and order queue in limit order markets
• Modelling high-frequency limit order book dynamics with support vector machines
• Continuous time trading of a small investor in a limit order market
• A Leland model for delta hedging in central risk books
• Order scoring, bandit learning and order cancellations
• Optimal decisions in a time priority queue
• Internalisation by electronic FX spot dealers
• A deep learning approach to estimating fill probabilities in a limit order book
• Markets with random lifetimes and private values: mean reversion and option to trade
• Disentangling and quantifying market participant volatility contributions
• Heterogeneity and competition in fragmented markets: fees vs speed
• From tick data to semimartingales
• Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics
• A level-1 limit order book with time dependent arrival rates
• Apparent impact: the hidden cost of one-shot trades
• Algorithmic trading, stochastic control, and mutually exciting processes
• A one-level limit order book model with memory and variable spread
• A generative model of a limit order book using recurrent neural networks
• A continuous and efficient fundamental price on the discrete order book grid
• How much market making does a market need?
• High frequency trading strategies, market fragility and price spikes: an agent based model perspective
• Latency and liquidity provision in a limit order book
• Efficient portfolio valuation incorporating liquidity risk

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