3 papers
q-fin.TR2025
Multi-dimensional queue-reactive model and signal-driven models: a unified framework
Emmanouil Sfendourakis
We present a Markovian market model driven by a hidden Brownian efficient price. In particular, we extend the queue-reactive model, making its dynamics dependent on the efficient p…
q-fin.TR2025
From Glosten-Milgrom to the whole limit order book and applications to financial regulation
Weibing Huang, Sergio Pulido, Mathieu Rosenbaum +2
We build an agent-based model for the order book with three types of market participants: informed trader, noise trader and competitive market makers. Using a Glosten-Milgrom like…
q-fin.TR2024
Understanding the worst-kept secret of high-frequency trading
Sergio Pulido, Mathieu Rosenbaum, Emmanouil Sfendourakis
Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationsh…