A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics

A Stochastic Model for Order Book Dynamics

We propose a stochastic model for the continuous-time dynamics of a limit order book. The model strikes a balance between two desirable features: it captures key empirical properties of order book dynamics and its analytical tractability allows for fast computation of various quantities of interest without resorting to simulation. We describe a simple parameter estimation procedure based on hig...

A Multi-class Queueing Model of Limit Order Book Dynamics

Modern equity markets are computerized technological systems, operating as so-called “electronic limit order books” (LOBs). Market participants, including institutional investors, market makers, and opportunistic investors, are faced with a new set of operational trading challenges as they interact within today’s high-frequency marketplace. This has necessitated the development of electronic tr...

A hierarchical latent stochastic differential equation model for affective dynamics.

In this article a continuous-time stochastic model (the Ornstein-Uhlenbeck process) is presented to model the perpetually altering states of the core affect, which is a 2-dimensional concept underlying all our affective experiences. The process model that we propose can account for the temporal changes in core affect on the latent level. The key parameters of the model are the average position ...

A method for solving first order fuzzy differential equation

Stochastic Modeling of Order Book Dynamics

[Abstract] In this project the order book model proposed by Cont et al. [10] is used as a starting point to model order book dynamics. This model nicely combines three desirable properties from earlier studies: it is easy to calibrate, it reproduces statistical properties of the order book and it allows to make analytical computations in the order book. The model is studied, calibrated and test...