Données haute-fréquence et carnets d'ordres
Ref: 3MD5230
Description
Ce cours s’adresse aux élèves intéressés par l’étude empirique, la modélisation mathématique et la simulation numérique des marchés financiers modernes, dits « à carnets d’ordres », en particulier via l'utilisation de processus ponctuels.
Numéro de trimestre
SM11
Prérequis
Calcul stochastique, Python
Syllabus
1 : High-frequency financial data and limit order books I.
Lab: Stylized facts on trade data.
2 : High-frequency financial data and limit order books II.
Lab: Stylized facts on quote data.
3 : Introduction to point processes I.
Lab : Poisson processes.
4 : Introduction to point processes II.
Lab : Hawkes processes.
5 : Hawkes processes in finance.
Lab : Hawkes processes and high-frequency transaction data.
6 : Mathematical modeling of limit order books.
Lab : Poisson LOB simulation.
7 : An introduction to market impact.
Lab : Empirical market impact of LOB events.
Composition du cours
Cours (10h30), TP Python(10h30).
Notation
TP (50%), examen final (50%)
Ressources
Cours + TP
Support de cours, bibliographie
Abergel, Frédéric, Anane, Marouane, Chakraborti, Anirban, Jedidi, Aymen, & Muni Toke, Ioane (2016). Limit order books. Cambridge University Press.
Bacry, Emmanuel, Iacopo Mastromatteo, and Jean-François Muzy. "Hawkes processes in finance." In : Market Microstructure and Liquidity 1.01 (2015): 1550005.
Chakraborti Anirban , Ioane Muni Toke, Marco Patriarca, and Frédéric Abergel. “Econophysics review: I. Empirical facts”. In: Quantitative Finance 11.7 (2011), pp. 991–1012
Daley Daryl J and David Vere-Jones. An introduction to the theory of point processes: Volume I: elementary theory and methods. Springer, 2003.
Eisler Zoltan , Jean-Philippe Bouchaud, and Julien Kockelkoren. “The price impact of order book events: market orders, limit orders and cancellations”. In: Quantitative Finance 12.9 (2012), pp. 1395–1419.
Lu Xiaofei and F. Abergel. “High dimensional Hawkes processes for limit order books”. In: Quantitative Finance 18 (2 2018), pp. 249–264.
Muni Toke Ioane and Nakahiro Yoshida. “Analyzing order flows in limit order books with ratios of Cox-type intensities”. In: Quantitative Finance 20.1 (2020), pp. 81–98.