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.TR2023
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…
q-fin.TR2021
LOB modeling using Hawkes processes with a state-dependent factor
Emmanouil Sfendourakis, Ioane Muni Toke
A point process model for order flows in limit order books is proposed, in which the conditional intensity is the product of a Hawkes component and a state-dependent factor. In the…