| By: |
Ioane Muni Toke (MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec, ERIM - Equipe de Recherche en Informatique et Mathématiques - 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] - The University of Tokyo) |
| 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 |
| Date: |
2017–03–06 |
| URL: |
http://d.repec.org/n?u=RePEc:hal:journl:hal-01705080&r=mst |