28 citations · 42 across the 4 of their papers we have counts for
4 papers
Equity auction dynamics: latent liquidity models with activity acceleration
Mohammed Salek, Damien Challet, Ioane Muni Toke
Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial…
Marked point processes and intensity ratios for limit order book modeling
Ioane Muni Toke, Nakahiro Yoshida
This paper extends the analysis of Muni Toke and Yoshida (2020) to the case of marked point processes. We consider multiple marked point processes with intensities defined by three…
Analyzing order flows in limit order books with ratios of Cox-type intensities
Ioane Muni Toke, Nakahiro Yoshida
We introduce a Cox-type model for relative intensities of orders flows in a limit order book. The model assumes that all intensities share a common baseline intensity, which may fo…
Modelling intensities of order flows in a limit order book
Ioane Muni Toke, Nakahiro Yoshida
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…