Modelling intensities of order flows in a limit order book

DOI10.1080/14697688.2016.1236210MaRDI QIDQ4555100zbMATH OpenOpenAlexFDO

Authors Ioane Muni Toke, Nakahiro Yoshida

Publication date 19 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.03944

zbMATH Keywords

limit orderscancellationsintensity-based modelsmarket ordersorder bookstate-dependent point processes

Mathematics Subject Classification ID

Portfolio theory (91G10)

Abstract: We propose a parametric model for the simulation of limit order books. We assume that limit orders, market orders and cancellations are submitted according to point processes with state-dependent intensities. We propose new functional forms for these intensities, as well as new models for the placement of limit orders and cancellations. For cancellations, we introduce the concept of "priority index" to describe the selection of orders to be cancelled in the order book. Parameters of the model are estimated using likelihood maximization. We illustrate the performance of the model by providing extensive simulation results, with a comparison to empirical data and a standard Poisson reference.

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Cites work

• A mathematical approach to order book modeling
• A stochastic model for order book dynamics
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• Simulating and analyzing order book data: the queue-reactive model
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Cited in

(18)

• Reduced form modeling of limit order markets
• Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
• Confidence interval for correlation estimator between latent processes
• Diffusive behavior and the modeling of characteristic times in limit order executions
• Modelling the shape of the limit order book
• The impact of heterogeneous trading rules on the limit order book and order flows
• A few simulation results of basic models of limit order books
• Quasi-likelihood analysis and its applications
• A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
• Analyzing order flows in limit order books with ratios of Cox-type intensities
• Stationary distribution of the volume at the best quote in a Poisson order book model
• From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
• Linear models for the impact of order flow on prices. I. History dependent impact models
• A generative model of a limit order book using recurrent neural networks
• Modelling high-frequency limit order book dynamics with support vector machines
• Simulating and analyzing order book data: the queue-reactive model
• HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
• Marked point processes and intensity ratios for limit order book modeling

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