Limit Order Book Simulations: A Review

no code implementations • 27 Feb 2024 • Konark Jain, Nick Firoozye, Jonathan Kochems, Philip Treleaven

Limit Order Books (LOBs) serve as a mechanism for buyers and sellers to interact with each other in the financial markets.

Algorithmic Trading

Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process

no code implementations • 14 Dec 2023 • Konark Jain, Nick Firoozye, Jonathan Kochems, Philip Treleaven

We propose a novel methodology of using Compound Hawkes Process for the LOB where each event has an order size sampled from a calibrated distribution.

Unboundedness and Downward Closures of Higher-Order Pushdown Automata

no code implementations • 13 Jul 2015 • Matthew Hague, Jonathan Kochems, C. -H. Luke Ong

We show the diagonal problem for higher-order pushdown automata (HOPDA), and hence the simultaneous unboundedness problem, is decidable.

Formal Languages and Automata Theory F.4.3