English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

Motivated by empirical data, we develop a statistical description of thequeue dynamics for large tick assets based on a two-dimensional Fokker-Planck(diffusion) equation, that explicitly includes state dependence, i.e. the factthat the drift and diffusion depends on the volume present on both sides of thespread. "Jump" events, corresponding to sudden changes of the best limit price,must also be included as birth-death terms in the Fokker-Planck equation. Allquantities involved in the equation can be calibrated using high-frequency dataon best quotes. One of our central finding is the the dynamical process isapproximately scale invariant, i.e., the only relevant variable is the ratio ofthe current volume in the queue to its average value. While the latter showsintraday seasonalities and strong variability across stocks and time periods,the dynamics of the rescaled volumes is universal. In terms of rescaledvolumes, we found that the drift has a complex two-dimensional structure, whichis a sum of a gradient contribution and a rotational contribution, both stableacross stocks and time. This drift term is entirely responsible for thedynamical correlations between the ask queue and the bid queue.

A Fokker-Planck description for the queue dynamics of large tick stocks