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Price Dynamics in a Markovian Limit Order Market
Cont, Rama; Larrard, Adrien De - HAL - 2013
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 Markovian queueing system. Through its analytical tractability, the model allows to obtain analytical...
Persistent link: https://www.econbiz.de/10010631316
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Optimal order placement in limit order markets
Cont, Rama; Kukanov, Arseniy - HAL - 2012
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and queue sizes in each limit order book, as well as the...
Persistent link: https://www.econbiz.de/10010821294
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Price Dynamics in a Markovian Limit Order Market
Cont, Rama; Larrard, Adrien De - HAL - 2010
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 Markovian queueing system. Through its analytical tractability, the model allows to obtain analytical...
Persistent link: https://www.econbiz.de/10008794238
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When Market Illiquidity Generates Volumes
Darolles, Serge; Fol, Gaëlle Le; Mero, Gulten - HAL - 2010
We develop a model of the daily return-volume relationship which incorporates information and liquidity shocks. First …, we distinguish between two trading strategies, information-based and liquidity-based trading and suggest that their … latent factors related to information and liquidity. Our model explains how the liquidity frictions can increase the daily …
Persistent link: https://www.econbiz.de/10008794315
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Order book dynamics in liquid markets: limit theorems and diffusion approximations
Cont, Rama; Larrard, Adrien De - HAL - 2011
We propose a model for the dynamics of a limit order book in a liquid market where buy and sell orders are submitted at high frequency. We derive a functional central limit theorem for the joint dynamics of the bid and ask queues and show that, when the frequency of order arrivals is large, the...
Persistent link: https://www.econbiz.de/10009650053
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Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information
Guilbaud, Fabien; Pham, Huyên - HAL - 2012
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or limit orders, which are represented respectively by impulse...
Persistent link: https://www.econbiz.de/10010548432
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Ergodicity and scaling limit of a constrained multivariate Hawkes process
Zheng, Ban; Roueff, François; Abergel, Frédéric - HAL - 2013
We introduce a multivariate Hawkes process with constraints on its conditional density. It is a multivariate point process with conditional intensity similar to that of a multivariate Hawkes process but certain events are forbidden with respect to boundary conditions on a multidimensional...
Persistent link: https://www.econbiz.de/10010740592
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Price jump prediction in a limit order book
Zheng, Ban; Moulines, Eric; Abergel, Frédéric - HAL - 2012
, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that … liquidity balance on best bid/best ask is quite informative for predicting the future market order's direction. Moreover, we de … market order size as well as the liquidity on the best bid (best ask) are consistently informative for predicting the …
Persistent link: https://www.econbiz.de/10010659990
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Price jump prediction in a limit order book
Zheng, Ban; Moulines, Eric; Abergel, Frédéric - HAL - 2013
, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that … liquidity balance on best bid/best ask is quite informative for predicting the future market order's direction. Moreover, we de … market order size as well as the liquidity on the best bid (best ask) are consistently informative for predicting the …
Persistent link: https://www.econbiz.de/10010820578
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Optimal High Frequency Trading with limit and market orders
Guilbaud, Fabien; Pham, Huyen - HAL - 2011
We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson process of the tick-time clock. We consider a small agent who...
Persistent link: https://www.econbiz.de/10009147925