A limit order book is essentially a file on a computer that contains all orders sent to the
market, along with their characteristics such as the sign of the order, price, quantity and a …

Quantitative finance has had a long tradition of a bottom-up approach to complex systems
inference via multi-agent systems (MAS). These statistical tools are based on modelling …

This book exposes and comments on the consequences of Reg NMS and MiFID on market
microstructure. It covers changes in market design, electronic trading, and investor and …

We present a modified version of the non parametric Hawkes kernel estimation procedure
studied in Bacry and Muzy [arXiv: 1401.0903, 2014] that is adapted to slowly decreasing …

We use high-frequency data from the Nasdaq exchange to build a measure of volume
imbalance in the limit order (LO) book. We show that our measure is a good predictor of the …

We study statistical aspects of state-dependent Hawkes processes, which are an extension
of Hawkes processes where a self-and cross-exciting counting process and a state process …

Since we will never really know why the prices of financial assets move, we should at least
make a faithful model of how they move. This was the motivation of Bachelier in 1900, when …

We incorporate a Markovian signal in the optimal trading framework which was initially
proposed by Gatheral et al.(Math. Finance 22: 445–474, 2012) and provide results on the …

Market impact is the link between the volume of a (large) order and the price move during
and after the execution of this order. We show that in a quite general framework, under no …

Limit Order Books (LOBs) serve as a mechanism for buyers and sellers to interact with each
other in the financial markets. Modelling and simulating LOBs is quite often necessary} for …