A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study compares price limit and circuit breaker effects in stock markets.
We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which is the centralized order book market of London Stock Exchange. As a result, the limit price is broadly distributed around the best price acc…
Paper introduces new Hawkes processes to model price changes in limit order books.
Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of pri…
Study shows increased volatility in Korean stock market after price limit change.
Study of Hawkes processes in limit order books for price volatility analysis.
Two price regimes identified in limit order books: close and far from quotes.
We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in the definition of relative price. The order placement process is determined by several empirical regularities: the long memory in order direc…
In this paper, we study various new Hawkes processes, namely, so-called general compound and regime-switching general compound Hawkes processes to model the price processes in the limit order books. We prove Law of Large Numbers (LLN) and Functional Central Limit Theorems (FCLT) for these processes. The latter two FCLT…
Optimal control models for limit order trading often assume that the underlying asset price is a Brownian motion since they deal with relatively short time scales. The resulting optimal bid and ask limit order prices tend to track the underlying price as one might expect. This is indeed the case with the model of Avell…
Scaling limits for super-replication costs in models with transient price impact.
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, 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 futur…
We investigate the behavior of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is presumed to oscillate and damp in a quantum spatial-periodic harmonic oscillator potential well. Complicated non-linear relations including inter-band positive correlatio…
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 expressions for various quantit…
In this paper we present a novel approach to the determination of fat tails in financial data by studying the information contained in the limit order book. In an order-driven market buyers and sellers may submit limit orders, which are executed when the price touches a pre-specified lower, respectively higher, limit-p…
We introduce and study a simple model of a limit order-driven market. Traders in this model can either trade at the market price or place a limit order, i.e. an instruction to buy (sell) a certain amount of the stock if its price falls below (raises above) a predefined level. The choice between these two options is pur…
Study shows how order flow at multiple price levels affects stock prices.
Study shows price limits in Chinese stock markets reduce trading activity before hitting limits.
Study analyzes prediction market convergence and pricing mechanisms.
We consider a simple model for the evolution of a limit order book in which limit orders of unit size arrive according to independent Poisson processes. The frequencies of buy limit orders below a given price level, respectively sell limit orders above a given level are described by fixed demand and supply functions. B…
Paper analyzes the cost and execution of limit orders in a market with random walk price behavior.
Study shows finite agent equilibrium converges to mean-field limit in asset pricing.
Price and return predictions are limited by economic complexity, not just volatility.
Study optimal liquidation under high risk aversion and small price impact.
A new method forecasts hourly electricity prices considering product dynamics and limit order book signals.
I consider the problem of the optimal limit order price of a financial asset in the framework of the maximization of the utility function of the investor. The analytical solution of the problem gives insight on the origin of the recently empirically observed power law distribution of limit order prices. In the framewor…
Machine learning predicts short-term price movements from LOB features.
Study scaling limits of utility indifference prices in discretized Bachelier model.
Study on price formation in a market with a major player and minor firms.
Approximations to utility indifference prices are provided for a contingent claim in the large position size limit. Results are valid for general utility functions on the real line and semi-martingale models. It is shown that as the position size approaches infinity, the utility function's decay rate for large negative…
Paper uses ML to predict stock price movements from order book data.
Transformers predict price movements from limit order books.
We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). Our model is flexible enough to allow for a dependence of the price dynamics on volumes. For the joint dynamics of best bid and ask prices and the standing buy and sell volume densities, we derive a functional limit theorem, which …
Study examines reasons for Nutek India's share price drop.
Unified model integrates Bachelier and Black-Scholes-Merton for asset pricing.
A new model predicts price concavity and reversion after metaorder execution.
Paper connects micro to macro models of limit order books using SPDEs.
Proposes a stochastic model for limit order book dynamics.
This paper studies a limit order book (LOB) model, in which the order dynamics depend on both, the current best available prices and the current volume density functions. For the joint dynamics of the best bid price, the best ask price, and the standing volume densities on both sides of the LOB we derive a weak law of …
Blockchain trading faces limits due to time-consuming settlement, exposing arbitrageurs to price risk.
We investigate the statistical properties of the EBS order book for the EUR/USD and USD/JPY currency pairs and the impact of a ten-fold tick size reduction on its dynamics. A large fraction of limit orders are still placed right at or halfway between the old allowed prices. This generates price barriers where the best …
We consider a simplified model of the continuous double auction where prices are integers varying from to with limit orders and market orders, but quantity per order limited to a single share. For this model, the order process is equivalent to two queues. We study the behaviour of the auction in the low…
We propose a simple stochastic model for the dynamics of a limit order book, extending the recent work of Cont and de Larrard (2013), where the price dynamics are endogenous, resulting from market transactions. We also show that the conditional diffusion limit of the price process is the so-called Brownian meander.
We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the efficient price, that is, the asset price when a representative liquidity demander…
RNNs predict price-flips in limit order books, reducing adverse selection.
We briefly review data analysis of the Island order book, part of NASDAQ, which suggests a framework to which all limit order markets should comply. Using a simple exclusion particle model, we argue that short-time price over-diffusion in limit order markets is due to the non-equilibrium of order placement, cancellatio…
Modeling house prices in Australia reveals supply limitations as the primary driver of extreme trends.
Study utility indifference pricing with delayed investment information in a Bachelier model.