Modeling First Line Of An Order Book With Multivariate Marked Point Processes

Alexis Fauth () and Ciprian A. Tudor ()
Additional contact information
Alexis Fauth: SAMM - Statistique, Analyse et Modélisation Multidisciplinaire (SAmos-Marin Mersenne) - UP1 - Université Paris 1 Panthéon-Sorbonne
Ciprian A. Tudor: LPP - Laboratoire Paul Painlevé - UMR 8524 - Université de Lille - CNRS - Centre National de la Recherche Scientifique

Working Papers from HAL

Abstract: We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique process the duration of the transaction and the corresponding volume of orders. The model is motivated by the fact that the "excitation" of the market is different in periods of time with low exchanged volume and high volume exchanged. We illustrate our result by numerical simulations on foreign exchange data sampling in millisecond. By checking the main stylized facts, we show that the model is consistent with the empirical data. We also find an interesting relation between the distribution of the volume of limited order and the volume of market orders. To conclude, we propose an application to risk management and we introduce a forecast procedure.

Keywords: trading strategy; Order book; bid-ask spread; market impact; microstructure; multivariate marked Hawkes processes; trading strategy. (search for similar items in EconPapers)
Date: 2012-11-07
New Economics Papers: this item is included in nep-mst
Note: View the original document on HAL open archive server: https://hal.science/hal-00752971
References: Add references at CitEc
Citations:

Downloads: (external link)
https://hal.science/hal-00752971/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:wpaper:hal-00752971

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().