International audienceWe introduce a Cox-type model for relative intensities of orders flows in a limit order book. The model assumes that all intensities share a common baseline intensity, which may for example represent the global market activity. Parameters can be estimated by quasi likelihood maximization, without any interference from the baseline intensity. Consistency and asymptotic behavior of the estimators are given in several frameworks, and model selection is discussed with information criteria and penalization. The model is well-suited for high-frequency financial data: fitted models using easily interpretable covariates show an excellent agreement with empirical data. Extensive investigation on tick data consequently helps ide...
This thesis focuses on the statistical modeling of the dynamics of limit order books in electronic e...
This article presents an order flow model framework for limit order driven markets. Different from p...
International audienceHawkes processes provide a natural framework to model dependenciesbetween the ...
International audienceWe introduce a Cox-type model for relative intensities of orders flows in a li...
International audienceWe propose a parametric model for the simulation of limit order books. We assu...
A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institut...
38 pages, 7 figures, 6 tablesThis paper extends the analysis of Muni Toke and Yoshida (2020) to the ...
A limit order book is essentially a file on a computer that contains all orders sent to the market, ...
We propose a continuous-time stochastic model for the dynamics of a limit order book. The model stri...
A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institut...
International audienceIn this paper, we study the analytical properties of a one-side order book mod...
Abstract: In this paper, we propose a dynamical model of the limit order book. After postulating the...
Limit order books are used to match buyers and sellers in more than half of the world’s financial ma...
We propose a model for the dynamics of a limit order book in a liquid market where buy and sell orde...
International audience<p>In this work, we adopt Spread constrained Limit Order Book Hawkes Process (...
This thesis focuses on the statistical modeling of the dynamics of limit order books in electronic e...
This article presents an order flow model framework for limit order driven markets. Different from p...
International audienceHawkes processes provide a natural framework to model dependenciesbetween the ...
International audienceWe introduce a Cox-type model for relative intensities of orders flows in a li...
International audienceWe propose a parametric model for the simulation of limit order books. We assu...
A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institut...
38 pages, 7 figures, 6 tablesThis paper extends the analysis of Muni Toke and Yoshida (2020) to the ...
A limit order book is essentially a file on a computer that contains all orders sent to the market, ...
We propose a continuous-time stochastic model for the dynamics of a limit order book. The model stri...
A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institut...
International audienceIn this paper, we study the analytical properties of a one-side order book mod...
Abstract: In this paper, we propose a dynamical model of the limit order book. After postulating the...
Limit order books are used to match buyers and sellers in more than half of the world’s financial ma...
We propose a model for the dynamics of a limit order book in a liquid market where buy and sell orde...
International audience<p>In this work, we adopt Spread constrained Limit Order Book Hawkes Process (...
This thesis focuses on the statistical modeling of the dynamics of limit order books in electronic e...
This article presents an order flow model framework for limit order driven markets. Different from p...
International audienceHawkes processes provide a natural framework to model dependenciesbetween the ...