%0 Journal Article %T Modelling intensities of order flows in a limit order book %+ Mathématiques et Informatique pour la Complexité et les Systèmes (MICS) %+ Equipe de Recherche en Informatique et Mathématiques (ERIM) %+ Core Research for Evolutional Science and Technology (CREST) %+ Graduate School of Mathematical Sciences[Tokyo] %A Muni Toke, Ioane %A Yoshida, Nakahiro %< avec comité de lecture %@ 1469-7688 %J Quantitative Finance %I Taylor & Francis (Routledge) %V 17 %N 5 %P 683 - 701 %8 2017-03-06 %D 2017 %R 10.1080/14697688.2016.1236210 %K order book %K limit orders %K market orders %K cancellations %K state-dependent point processes %K intensity-based models %Z Quantitative Finance [q-fin]/Trading and Market Microstructure [q-fin.TR] %Z Quantitative Finance [q-fin]/Statistical Finance [q-fin.ST]Journal articles %X 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. %G English %2 https://centralesupelec.hal.science/hal-01705080/document %2 https://centralesupelec.hal.science/hal-01705080/file/ModellingIntensities.pdf %L hal-01705080 %U https://centralesupelec.hal.science/hal-01705080 %~ UNIV-NC %~ AO-ECONOMIE %~ CENTRALESUPELEC %~ MICS %~ UNIV-PARIS-SACLAY %~ CENTRALESUPELEC-SACLAY %~ CHAIRE-FIQUANT %~ UNC %~ ERIM-UNC %~ GS-ENGINEERING %~ GS-COMPUTER-SCIENCE %~ PUNC-UNC %~ LARJE-PUNC-UNC %~ LA-NI-PUNC-UNC %~ CRESICA-PUNC-UNC %~ LIRE-PUNC-UNC %~ RESONANCES-PUNC-UNC