Modelling intensities of order flows in a limit order book

DOI10.1080/14697688.2016.1236210zbMath1402.91736arXiv1602.03944OpenAlexW2264233611MaRDI QIDQ4555100

Nakahiro Yoshida, Ioane Muni Toke

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)

Related Items (8)

Quasi-likelihood analysis and its applications ⋮ Marked point processes and intensity ratios for limit order book modeling ⋮ A generative model of a limit order book using recurrent neural networks ⋮ STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL ⋮ 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 ⋮ Confidence interval for correlation estimator between latent processes ⋮ A Few Simulation Results of Basic Models of Limit Order Books

Cites Work

• Zero-intelligence realized variance estimation.
• A MATHEMATICAL APPROACH TO ORDER BOOK MODELING
• Price Dynamics in a Markovian Limit Order Market
• A Stochastic Model for Order Book Dynamics
• Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework
• Statistical theory of the continuous double auction
• The order book as a queueing system: average depth and influence of the size of limit orders
• Simulating and Analyzing Order Book Data: The Queue-Reactive Model
• Analyzing and modeling 1+1d markets

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