4 datasets found

We offer an original way to analyse at the various high frequency streams of information originating from financial markets and to provide simple intuitive models that...

In this note, we cast a Hawkes process-based order book model into a markovian setting and; using techniques from the theory of Markov chains and stochastic stability,...

We propose a modeling framework for the dynamics of a reduced form order book in event time and based on event sizes. Our framework for the order book is influenced by...

This thesis presents some aspects of stochastic order book modelling. In the first part, we analyze a model in which order arrivals are independent Poisson. We show...