Modelling intensities of order flows in a limit order book

Ioane Muni Toke () and Nakahiro Yoshida
Additional contact information
Ioane Muni Toke: MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec, ERIM - Equipe de Recherche en Informatique et Mathématiques - UNC - Université de la Nouvelle-Calédonie, CREST - Core Research for Evolutional Science and Technology - JST - Japan Science and Technology Agency
Nakahiro Yoshida: CREST - Core Research for Evolutional Science and Technology - JST - Japan Science and Technology Agency, Graduate School of Mathematical Sciences[Tokyo] - UTokyo - Tōkyō teikoku daigaku = University of Tokyo [Tokyo]

Post-Print from HAL

Abstract: 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.

Keywords: order book; limit orders; market orders; cancellations; state-dependent point processes; intensity-based models (search for similar items in EconPapers)
Date: 2017-03-06
New Economics Papers: this item is included in nep-cmp and nep-mst
Note: View the original document on HAL open archive server: https://centralesupelec.hal.science/hal-01705080v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Published in Quantitative Finance, 2017, 17 (5), pp.683 - 701. ⟨10.1080/14697688.2016.1236210⟩

Downloads: (external link)
https://centralesupelec.hal.science/hal-01705080v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01705080

DOI: 10.1080/14697688.2016.1236210

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().