Modelling intensities of order flows in a limit order book
提出一个参数模型来模拟限价订单簿，假设限价单、市价单和撤单由状态依赖强度的点过程驱动，并引入“优先级指数”概念描述撤单选择，通过最大似然估计参数，模拟结果与实证数据及泊松基准对比。
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 state-dependent intensities. We propose new functional forms for these intensities, as well as new models for the placement of limit orders and cancellations. For cancellations, we introduce the concept of ‘priority index’ to describe the selection of orders to be cancelled in the order book. Parameters of the model are estimated using likelihood maximization. We illustrate the performance of the model by providing extensive simulation results, with a comparison to empirical data and a standard Poisson reference.