Results 1 to 10 of about 11,815,776 (302)
General Compound Hawkes Processes in Limit Order Books
Risks, 2020 In this paper, we study various new Hawkes processes. Specifically, we construct general compound Hawkes processes and investigate their properties in limit order books.
Anatoliy Swishchuk, Aiden Huffman
doaj +4 more sources
Characterizing limit order books in call auctions of a stock market. [PDF]
PLoS ONEStatistical and dynamical characteristics of stock markets have been extensively studied, providing a solid basis for econophysics and its application as "stylized facts". However, most of those studies are for markets under the continuous auction, i.e.,
Shota Nagumo, Takashi Shimada
doaj +2 more sources
Multivariate General Compound Point Processes in Limit Order Books
Risks, 2020 In this paper, we focus on a new generalization of multivariate general compound Hawkes process (MGCHP), which we referred to as the multivariate general compound point process (MGCPP).
Qi Guo +2 more
doaj +3 more sources
A Scaling Limit for Limit Order Books Driven by Hawkes Processes [PDF]
SIAM Journal on Financial Mathematics, 2019 In this paper we derive a scaling limit for an infinite dimensional limit order book model driven by Hawkes random measures. The dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator. With our choice of scaling the dynamics converges to a coupled SDE-ODE system where limiting best bid and ...
Ulrich Horst
exaly +4 more sources
A Law of Large Numbers for Limit Order Books [PDF]
Mathematics of Operations Research, 2017 We define a stochastic model of a two-sided limit order book in terms of its key quantities best bid [ask] price and the standing buy [sell] volume density. For a simple scaling of the discreteness parameters, that keeps the expected volume rate over the considered price interval invariant, we prove a limit theorem.
Ulrich Horst
exaly +3 more sources
HLOB–Information persistence and structure in limit order books
Expert Systems With ApplicationsWe introduce a novel large-scale deep learning model for Limit Order Book mid-price changes forecasting, and we name it `HLOB'. This architecture (i) exploits the information encoded by an Information Filtering Network, namely the Triangulated Maximally Filtered Graph, to unveil deeper and non-trivial dependency structures among volume levels; and (ii)
Tomaso Aste +2 more
exaly +4 more sources
Asynchronous Deep Double Dueling Q-learning for trading-signal execution in limit order book markets
Frontiers in Artificial Intelligence, 2023 We employ deep reinforcement learning (RL) to train an agent to successfully translate a high-frequency trading signal into a trading strategy that places individual limit orders.
Peer Nagy +4 more
doaj +1 more source
Awaiting the demise of the liberal order: Historicising the crisis of liberalism [PDF]
Filozofija i Društvo, 2023 This review article analyses the merits and shortcomings of three recent works by Matthew Rose, Peter Turchin, and Krishnan Nayar about the crisis in Western liberal democracies and liberalism.
Marković Vukan
doaj +1 more source
Optimal Liquidation, Acquisition and Market Making Problems in HFT under Hawkes Models for LOB
Risks, 2022 The present paper is focused on the solution of optimal control problems such as optimal acquisition, optimal liquidation, and market making in relation to the high-frequency trading market.
Ana Roldan Contreras, Anatoliy Swishchuk
doaj +1 more source