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A Mathematical Approach to Order Book Modelling

Citations

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Cited by:

  1. repec:hal:wpaper:hal-03968767 is not listed on IDEAS
  2. Mohammad Zare & Omid Naghshineh Arjmand & Erfan Salavati & Adel Mohammadpour, 2021. "An Agent‐Based model for Limit Order Book: Estimation and simulation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1112-1121, January.
  3. Taiki Wakatsuki & Kiyoshi Kanazawa, 2025. "Mean-field theory of the Santa Fe model revisited: a systematic derivation from an exact BBGKY hierarchy for the zero-intelligence limit-order book model," Papers 2510.01814, arXiv.org.
  4. Dupret, Jean-Loup & Hainaut, Donatien, 2023. "Optimal liquidation under indirect price impact with propagator," LIDAM Discussion Papers ISBA 2023012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  5. Jonathan A. Ch'avez-Casillas & Jos'e E. Figueroa-L'opez, 2014. "One-level limit order book models with memory and variable spread," Papers 1407.5684, arXiv.org, revised Mar 2016.
  6. M. Derksen & B. Kleijn & R. de Vilder, 2019. "Clearing price distributions in call auctions," Papers 1904.07583, arXiv.org, revised Nov 2019.
  7. Marcello Rambaldi & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2018. "Disentangling and quantifying market participant volatility contributions," Papers 1807.07036, arXiv.org.
  8. Patrick Cheridito & Moritz Weiss, 2025. "Reinforcement Learning for Trade Execution with Market and Limit Orders," Papers 2507.06345, arXiv.org, revised Jan 2026.
  9. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Finance and Stochastics, Springer, vol. 20(1), pages 183-218, January.
  10. Michael Giegrich & Roel Oomen & Christoph Reisinger, 2024. "Limit Order Book Simulation and Trade Evaluation with $K$-Nearest-Neighbor Resampling," Papers 2409.06514, arXiv.org.
  11. Ioane Muni Toke, 2015. "Exact and asymptotic solutions of the call auction problem," Post-Print hal-01061857, HAL.
  12. Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid, 2019. "Optimal inventory management and order book modeling," Post-Print hal-01710301, HAL.
  13. Ioane Muni Toke, 2017. "Stationary Distribution Of The Volume At The Best Quote In A Poisson Order Book Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-22, September.
  14. Clinet, Simon & Yoshida, Nakahiro, 2017. "Statistical inference for ergodic point processes and application to Limit Order Book," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1800-1839.
  15. Weibing Huang & Sergio Pulido & Mathieu Rosenbaum & Pamela Saliba & Emmanouil Sfendourakis, 2019. "From Glosten-Milgrom to the whole limit order book and applications to financial regulation," Papers 1902.10743, arXiv.org, revised Mar 2025.
  16. Simon Clinet, 2020. "Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes," Papers 2001.11624, arXiv.org, revised Aug 2021.
  17. Ioane Muni Toke, 2014. "Exact and asymptotic solutions of the call auction problem," Working Papers hal-01061857, HAL.
  18. Kyungsub Lee & Byoung Ki Seo, 2021. "Analytic formula for option margin with liquidity costs under dynamic delta hedging," Papers 2103.15302, arXiv.org.
  19. Ioane Muni Toke, 2014. "Exact and asymptotic solutions of the call auction problem," Papers 1407.4512, arXiv.org, revised Nov 2014.
  20. Ying Chen & Ulrich Horst & Hoang Hai Tran, 2019. "Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks," Papers 1912.06426, arXiv.org.
  21. Frédéric Abergel, 2015. "Lyapunov function for a Hawkes process-based limit order book," Working Papers hal-01113533, HAL.
  22. Ulrich Horst & Dörte Kreher, 2018. "Second order approximations for limit order books," Finance and Stochastics, Springer, vol. 22(4), pages 827-877, October.
  23. Xin Liu & Qi Gong & Vidyadhar G. Kulkarni, 2015. "A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions," Papers 1511.04096, arXiv.org, revised Mar 2016.
  24. Lee, Kyungsub & Seo, Byoung Ki, 2017. "Marked Hawkes process modeling of price dynamics and volatility estimation," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 174-200.
  25. Ruihua Ruan & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2023. "The self-exciting nature of the bid-ask spread dynamics," Papers 2303.02038, arXiv.org, revised Jun 2023.
  26. Ioane Muni Toke, 2017. "Stationary Distribution Of The Volume At The Best Quote In A Poisson Order Book Model," Post-Print hal-01705085, HAL.
  27. Chávez-Casillas, Jonathan A. & Figueroa-López, José E., 2017. "A one-level limit order book model with memory and variable spread," Stochastic Processes and their Applications, Elsevier, vol. 127(8), pages 2447-2481.
  28. Kononovicius, Aleksejus & Ruseckas, Julius, 2019. "Order book model with herd behavior exhibiting long-range memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 171-191.
  29. Vincent Danos & Hamza El Khalloufi & Julien Prat, 2021. "Global Order Routing on Exchange Networks," Post-Print hal-03455981, HAL.
  30. Jos'e E. Figueroa-L'opez & Hyoeun Lee & Raghu Pasupathy, 2017. "Optimal placement of a small order in a diffusive limit order book," Papers 1708.04337, arXiv.org.
  31. Ioane Muni Toke & Nakahiro Yoshida, 2017. "Modelling intensities of order flows in a limit order book," Post-Print hal-01705080, HAL.
  32. Frédéric Abergel & Aymen Jedidi, 2015. "Long-Time Behavior of a Hawkes Process--Based Limit Order Book," Post-Print hal-01121711, HAL.
  33. José Da Fonseca & Riadh Zaatour, 2017. "Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(3), pages 260-285, March.
  34. Xin Guo & Zhao Ruan & Lingjiong Zhu, 2015. "Dynamics of Order Positions and Related Queues in a Limit Order Book," Papers 1505.04810, arXiv.org, revised Oct 2015.
  35. Christopher J. Cho & Timothy J. Norman & Manuel Nunes, 2023. "PRIME: A Price-Reverting Impact Model of a cryptocurrency Exchange," Papers 2305.07559, arXiv.org.
  36. Hua, Jia-Chen & Chen, Lijian & Falcon, Liberty & McCauley, Joseph L. & Gunaratne, Gemunu H., 2015. "Variable diffusion in stock market fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 221-233.
  37. Ioane Muni Toke, 2015. "Stationary distribution of the volume at the best quote in a Poisson order book model," Papers 1502.03871, arXiv.org.
  38. Ulrich Horst & Michael Paulsen, 2015. "A law of large numbers for limit order books," Papers 1501.00843, arXiv.org.
  39. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Finance and Stochastics, Springer, vol. 20(1), pages 183-218, January.
  40. Etienne Chevalier & M’hamed Gaïgi & Vathana Ly Vath & Mohamed Mnif, 2017. "Optimal Market Dealing Under Constraints," Journal of Optimization Theory and Applications, Springer, vol. 173(1), pages 313-335, April.
  41. Ulrich Horst & Wei Xu, 2017. "A Scaling Limit for Limit Order Books Driven by Hawkes Processes," Papers 1709.01292, arXiv.org, revised Aug 2018.
  42. Emmanouil Sfendourakis, 2025. "Multi-dimensional queue-reactive model and signal-driven models: a unified framework," Papers 2506.11843, arXiv.org.
  43. Ioane Muni Toke & Nakahiro Yoshida, 2016. "Modelling intensities of order flows in a limit order book," Papers 1602.03944, arXiv.org.
  44. Aleksejus Kononovicius & Julius Ruseckas, 2018. "Order book model with herd behavior exhibiting long-range memory," Papers 1809.02772, arXiv.org, revised Apr 2019.
  45. repec:hal:wpaper:hal-01121711 is not listed on IDEAS
  46. Rama Cont & Pierre Degond & Lifan Xuan, 2023. "A mathematical framework for modelling order book dynamics," Papers 2302.01169, arXiv.org.
  47. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Post-Print hal-00971369, HAL.
  48. Konark Jain & Nick Firoozye & Jonathan Kochems & Philip Treleaven, 2025. "An Impulse Control Approach to Market Making in a Hawkes LOB Market," Papers 2510.26438, arXiv.org, revised Oct 2025.
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