A Reduced-Form Model for Level-1 Limit Order Books

One-level limit order books with sparsity and memory

Motivated by Cont and Larrard (2013)’s seminal Limit Order Book (LOB) model, we propose two continuous-time models for the level I of a LOB in which the arrivals of limit orders, market orders, and cancellations are assumed to be mutually independent, memoryless, and stationary, but, unlike the aforementioned paper, the proposed models also account for some of the sparsity and memory exhibited ...

NORMAL FORM SOLUTION OF REDUCED ORDER OSCILLATING SYSTEMS

This paper describes a preliminary investigation into the use of normal form theory for modelling large non-linear dynamical systems. Limit cycle oscillations are determined for simple two-degree-of-freedom double pendulum systems. The double pendulum system is reduced into its centre manifold before computing normal forms. Normal forms are obtained using a period averaging method which is appl...

A comprehensive unified model of structural and reduced form type for defaultable fixed income bonds

‎The aim of this paper is to generalize the comprehensive structural model for defaultable fixed income bonds (considered in R‎. ‎Agliardi‎, ‎A comprehensive structural model for defaultable fixed-income bondsو Quant‎. ‎Finance 11 (2011)‎, ‎no‎. ‎5‎, ‎749--762.) into a comprehensive unified model of structural and reduced form models‎. ‎In our model the bond holders receive the deterministic co...

Stochastic Models for Service Systems and Limit Order Books

Time Consistent Dynamic Limit Order Books Calibrated on Options

In an incomplete nancial market, the axiomatic of Time Consistent Pricing Procedure (TCPP), recently introduced, is used to assign to any nancial asset a dynamic limit order book, taking into account both the dynamics of basic assets and the limit order books for options. Kreps-Yan fundamental theorem is extended to that context. A characterization of TCPP calibrated on options is given in term...