We propose a stochastic model for the continuous-time dynamics of a limit order book. The model strikes a balance between three desirable features: it can be estimated easily from data, it captures key empirical properties of order book dynamics and its analytical tractability allows for fast...

We study the price impact of order book events--limit orders, market orders, and cancellations--using the NYSE Trades and Quotes data for fifty U.S. stocks. We show that, over short time intervals, price changes are mainly driven by the order flow imbalance (OFI), defined as the imbalance...

Motivated by models of tenant assignment in public housing, we study approximating deterministic fluid models for overloaded queueing systems having multiple customer classes (classes of tenants) and multiple service pools (housing authorities), each with many servers (housing units). Customer...

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Bid and ask sizes at the top of the order book provide information on short-term price moves. Drawing from classical descriptions of the order book in terms of queues and order-arrival rates (Smith et al., 2003), we consider a diffusion model for the evolution of the best bid/ask queues. We...

Abstract Starting from the requirement that risk of financial portfolios should be measured in terms of their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We characterize convex loss-based risk measures by a...

The paper contains a phenomenological description of the whole US forward rate curve (FRC), based on data in the period 1990-1996. It is found that the average deviation of the FRC from the spot rate grows as the square-root of the maturity, with a prefactor which is comparable to the spot rate...