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q-fin.ST2018★ 10 cited
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…
q-fin.ST2016★ 28 cited
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…