Dynamical models of market impact and algorithms for order execution
In this review article, we present recent work on the regularity of dynamical market impact
models and their associated optimal order execution strategies. In particular, we address the …
models and their associated optimal order execution strategies. In particular, we address the …
Universal features of price formation in financial markets: perspectives from deep learning
Using a large-scale Deep Learning approach applied to a high-frequency database
containing billions of market quotes and transactions for US equities, we uncover …
containing billions of market quotes and transactions for US equities, we uncover …
Limit order books
Limit order books (LOBs) match buyers and sellers in more than half of the world's financial
markets. This survey highlights the insights that have emerged from the wealth of empirical …
markets. This survey highlights the insights that have emerged from the wealth of empirical …
Anomalous price impact and the critical nature of liquidity in financial markets
We propose a dynamical theory of market liquidity that predicts that the average
supply/demand profile is V shaped and vanishes around the current price. This result is …
supply/demand profile is V shaped and vanishes around the current price. This result is …
Deep learning for limit order books
This paper develops a new neural network architecture for modeling spatial distributions (ie
distributions on R d) which is more computationally efficient than a traditional fully …
distributions on R d) which is more computationally efficient than a traditional fully …
Optimal high-frequency trading with limit and market orders
We propose a framework for studying optimal market-making policies in a limit order book
(LOB). The bid–ask spread of the LOB is modeled by a tick-valued continuous-time Markov …
(LOB). The bid–ask spread of the LOB is modeled by a tick-valued continuous-time Markov …
Simulating and analyzing order book data: The queue-reactive model
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a
model which accommodates the empirical properties of the full order book together with the …
model which accommodates the empirical properties of the full order book together with the …
Hawkes process: Fast calibration, application to trade clustering, and diffusive limit
This study provides explicit formulas for the moments and the autocorrelation function of the
number of jumps over a given interval for a self‐excited Hawkes process. These …
number of jumps over a given interval for a self‐excited Hawkes process. These …
Optimal portfolio liquidation with limit orders
This paper addresses portfolio liquidation using a new angle. Instead of focusing only on the
scheduling aspect like Almgren and Chriss in [J. Risk, 3 (2000), pp. 5--39], or only on the …
scheduling aspect like Almgren and Chriss in [J. Risk, 3 (2000), pp. 5--39], or only on the …
Estimation of slowly decreasing hawkes kernels: application to high-frequency order book dynamics
We present a modified version of the non parametric Hawkes kernel estimation procedure
studied in Bacry and Muzy [arxiv: 1401.0903, 2014] that is adapted to slowly decreasing …
studied in Bacry and Muzy [arxiv: 1401.0903, 2014] that is adapted to slowly decreasing …