Modelling intensities of order flows in a limit order book - CentraleSupélec
Article Dans Une Revue Quantitative Finance Année : 2017

Modelling intensities of order flows in a limit order book

Résumé

We propose a parametric model for the simulation of limit order books. We assume that limit orders, market orders and cancellations are submitted according to point processes with state-dependent intensities. We propose new functional forms for these intensities, as well as new models for the placement of limit orders and cancellations. For cancellations, we introduce the concept of " priority index " to describe the selection of orders to be cancelled in the order book. Parameters of the model are estimated using likelihood maximization. We illustrate the performance of the model by providing extensive simulation results, with a comparison to empirical data and a standard Poisson reference.
Fichier principal
Vignette du fichier
ModellingIntensities.pdf (518.76 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01705080 , version 1 (09-02-2018)

Identifiants

Citer

Ioane Muni Toke, Nakahiro Yoshida. Modelling intensities of order flows in a limit order book. Quantitative Finance, 2017, 17 (5), pp.683 - 701. ⟨10.1080/14697688.2016.1236210⟩. ⟨hal-01705080⟩
236 Consultations
4200 Téléchargements

Altmetric

Partager

More