[图书][B] Limit order books
F Abergel, M Anane, A Chakraborti, A Jedidi, IM Toke - 2016 - books.google.com
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 …
market, along with their characteristics such as the sign of the order, price, quantity and a …
Modelling stock markets by multi-agent reinforcement learning
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 …
inference via multi-agent systems (MAS). These statistical tools are based on modelling …
[图书][B] Market microstructure in practice
CA Lehalle, S Laruelle - 2018 - books.google.com
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 …
microstructure. It covers changes in market design, electronic trading, and investor and …
Estimation of slowly decreasing hawkes kernels: application to high-frequency order book dynamics
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 …
studied in Bacry and Muzy [arXiv: 1401.0903, 2014] that is adapted to slowly decreasing …
Enhancing trading strategies with order book signals
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 …
imbalance in the limit order (LO) book. We show that our measure is a good predictor of the …
State-dependent Hawkes processes and their application to limit order book modelling
M Morariu-Patrichi, MS Pakkanen - Quantitative Finance, 2022 - Taylor & Francis
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 …
of Hawkes processes where a self-and cross-exciting counting process and a state process …
[图书][B] Rough volatility
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 …
make a faithful model of how they move. This was the motivation of Bachelier in 1900, when …
Incorporating signals into optimal trading
CA Lehalle, E Neuman - Finance and Stochastics, 2019 - Springer
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 …
proposed by Gatheral et al.(Math. Finance 22: 445–474, 2012) and provide results on the …
No‐arbitrage implies power‐law market impact and rough volatility
P Jusselin, M Rosenbaum - Mathematical Finance, 2020 - Wiley Online Library
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 …
and after the execution of this order. We show that in a quite general framework, under no …
Limit Order Book Simulations: A Review
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 …
other in the financial markets. Modelling and simulating LOBs is quite often necessary} for …