Systems and Means of Informatics
2014, Volume 24, Issue 4, pp 63-85
RECENT WORKS IN THE FIELD OF MODELING INFORMATION FLOWS IN CONTEMPORARY HIGH-FREQUENCY FINANCIAL APPLICATIONS
- V. Yu. Korolev
- A. Yu. Korchagin
- I. A. Sokolov
- A. V. Chertok
Abstract
Some results of recent studies in the field of modeling information flows in contemporary high-frequency financial systems and applications are discussed. In particular, the microscale model proposed by the authors is considered. Within the framework of this model, the order flows are described by doubly stochastic Poisson processes (also called Cox processes) which take account of the random character of intensities. To study the evolution of the limit order book (the current list of all active buy and sell orders), the models are proposed for the processes of number of orders imbalance and order flows imbalance having the form of two-sided risk processes, special compound Cox processes. These processes are sensitive indicators of the current state of the limit order book and provide the possibility to interpolate dynamics of the market between price changes, say, to trace toxicity of the order flow. The paper presents a review of main results obtained by application of these models.
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[+] About this article
Title
RECENT WORKS IN THE FIELD OF MODELING INFORMATION FLOWS IN CONTEMPORARY HIGH-FREQUENCY FINANCIAL APPLICATIONS
Journal
Systems and Means of Informatics
Volume 24, Issue 4, pp 63-85
Cover Date
2013-11-30
DOI
10.14357/08696527140404
Print ISSN
0869-6527
Publisher
Institute of Informatics Problems, Russian Academy of Sciences
Additional Links
Key words
financial markets; high-frequency financial systems; limit order book; number of orders imbalance; order flows imbalance; doubly stochastic Poisson process; compound Cox process; normal variance-mean mixture; twosided risk process; separation of mixtures; EM-algorithm; generalized variance gamma distribution; generalized gamma distribution; generalized hyperbolic distribution; generalized inverse Gaussian distribution
Authors
V. Yu. Korolev  ,  ,
A. Yu. Korchagin ,
I. A. Sokolov ,
and A. V. Chertok , 
Author Affiliations
Faculty of Computational Mathematics and Cybernetics, M.V. Lomonosov Moscow State University, 1-52 Leninskiye Gory, GSP-1, Moscow 119991, Russian Federation
Institute of Informatics Problems, Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333, Russian Federation
Euphoria Group LLC, 9, bld. 1, of. 6 Arkhangelsky Lane, Moscow 101000, Russian Federation
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