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Abstract: We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Mar...
How does the market react to your order flow?
Financial markets market microstructure limit order book
2011/7/22
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose t...
"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...
Second Order Risk
Second Order Risk
2010/11/2
Managing a portfolio to a risk model can tilt the portfolio toward weaknesses of the model.
As a result, the optimized portfolio acquires downside exposure to uncertainty in the model itself,what we ...
Scaling and memory in the non-poisson process of limit order cancelation
Econophysics Inter-cancelation duration Scaling Long memory Multifractal nature
2010/11/2
The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancelation by studying the...
High order discretization schemes for stochastic volatility models
High order discretization schemes stochastic volatility models
2010/11/2
In usual stochastic volatility models, the process driving the volatility of the asset price evolves accord-ing to an autonomous one-dimensional stochastic differential equation. We assume that the co...
Stock Returns, Order Imbalances, and Commonality: Evidence on Individual, Institutional, and Proprietary Investors in China主讲人 Prof. Jun CaiCity University of Hong Kong