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 approach, we are able to deduce the whole limit order book (bid-ask spread and volume available at each price) from...

Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do so, we split the time interval of interest into periods...

This empirical study uses a unique recent data set provided by the French regulator "Autorité des Marchés Financiers" and gives some evidence concerning the impact of aggressive orders on the price formation process and the information content of these orders according to the different order...

The interactions between factors that affect slope instability are complex, multi-factorial, and often difficult to describe mathematically, imposing a challenge for prediction using traditional methods. The power of the ANN and Grey Systems approaches lies in employing the behaviour of the...

In this paper, we use a database of around 400,000 metaorders issued by investors and electronically traded on European markets in 2010 in order to study market impact at different scales. At the intraday scale we confirm a square root temporary impact in the daily participation, and we shed...