Modelling intensities of order flows in a limit order book
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Publication:4555100
DOI10.1080/14697688.2016.1236210zbMATH Open1402.91736arXiv1602.03944OpenAlexW2264233611MaRDI QIDQ4555100FDOQ4555100
Authors: Ioane Muni Toke, Nakahiro Yoshida 
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1602.03944
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limit orderscancellationsintensity-based modelsmarket ordersorder bookstate-dependent point processes
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Cited In (18)
- Modelling high-frequency limit order book dynamics with support vector machines
- HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
- Quasi-likelihood analysis and its applications
- A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
- A few simulation results of basic models of limit order books
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
- A generative model of a limit order book using recurrent neural networks
- Simulating and analyzing order book data: the queue-reactive model
- Diffusive behavior and the modeling of characteristic times in limit order executions
- Modelling the shape of the limit order book
- Marked point processes and intensity ratios for limit order book modeling
- Reduced form modeling of limit order markets
- Stationary distribution of the volume at the best quote in a Poisson order book model
- Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
- Confidence interval for correlation estimator between latent processes
- The impact of heterogeneous trading rules on the limit order book and order flows
- Linear models for the impact of order flow on prices. I. History dependent impact models
- Analyzing order flows in limit order books with ratios of Cox-type intensities
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