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Three research topics on limit order books, IPAM Financial Maths 2015, Core Participants Short Talks, Institute for Pure and Applied Mathematics

 Ioane Muni Toke
IPAM Financial Maths 2015, Core Participants Short Talks, 2015, Los Angeles, United States
Communication dans un congrès hal-03387605v1
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Analyzing order flows in limit order books with ratios of Cox-type intensities

 Ioane Muni Toke , Nakahiro Yoshida
Quantitative Finance, 2020, 20 (1), pp.81-98. ⟨10.1080/14697688.2019.1637927⟩
Article dans une revue hal-01799398v3
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Econophysics review: II. Agent-based models

 Anirban Chakraborti , Ioane Muni Toke , Marco Patriarca , Frédéric Abergel
Quantitative Finance, 2011, 11 (7), pp.1013-1041. ⟨10.1080/14697688.2010.539249⟩
Article dans une revue hal-00621059v1
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Market making" behaviour in an order book model and its impact on the bid-ask spread

 Ioane Muni Toke
Frédéric Abergel, Bikas K. Chakrabarti, Anirban Chakraborti, Manipushpak Mitra. Econophysics of Order-driven Markets, Springer, 2011, New Economic Windows, 978-88-470-1765-8. ⟨10.1007/978-88-470-1766-5_4⟩
Chapitre d'ouvrage hal-01705266v1
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Reconstruction of Order Flows using Aggregated Data

 Ioane Muni Toke
Market microstructure and liquidity, 2016, 2016-11-03, 02 (02), ⟨10.1142/S2382626616500076⟩
Article dans une revue hal-01705074v1

Parallel Iterative Linear Solvers on GPU: A Financial Engineering Case

 Ioane Muni Toke , Abhijeet Gaikwad , Ioane Muni Toke
18th Euromicro International Conference on Parallel, Distributed and Network-Based Processing (PDP 2010), Feb 2010, Pisa, Italy. pp.607-614
Communication dans un congrès hal-02177386v1
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Exact and asymptotic solutions of the call auction problem

 Ioane Muni Toke
Market microstructure and liquidity, 2015, 1 (1), pp.1550001. ⟨10.1142/s238262661550001x⟩
Article dans une revue hal-01061857v1
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STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL

 Ioane Muni Toke
International Journal of Theoretical and Applied Finance, 2017, 20 (06), pp.1750039. ⟨10.1142/S021902491750039X⟩
Article dans une revue hal-01705085v1
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Marked point processes and intensity ratios for limit order book modeling

 Ioane Muni Toke , Nakahiro Yoshida
Japanese Journal of Statistics and Data Science , 2022, ⟨10.1007/s42081-021-00137-9⟩
Article dans une revue hal-02465428v1

Stationary distributions in Poisson limit order book models, Workshop on the Mathematics of High-Frequency Trading, Institute for Pure and Applied Mathematics.

 Ioane Muni Toke
IPAM Financial Maths 2015, Core Participants Short Talks, 2015, Los Angeles, United States
Communication dans un congrès hal-03387607v1

LOB modeling using Hawkes processes with a state-dependent factor

 Emmanouil Sfendourakis , Ioane Muni Toke
Market microstructure and liquidity, 2023, ⟨10.1142/S2382626620500148⟩
Article dans une revue hal-03417460v1
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Equity auction dynamics: latent liquidity models with activity acceleration

 Mohammed Salek , Damien Challet , Ioane Muni Toke
2024
Pré-publication, Document de travail hal-04391810v1

Limit Order Books

 Frédéric Abergel , Anirban Chakraborti , Aymen Jedidi , Ioane Muni Toke , Marouane Anane
Cambridge University Press, 2016, ⟨10.1017/CBO9781316683040⟩
Ouvrages hal-02177394v1
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Price impact in equity auctions: zero, then linear

 Mohammed Salek , Damien Challet , Ioane Muni Toke
2023
Pré-publication, Document de travail hal-03938660v2
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The order book as a queueing system: average depth and influence of the size of limit orders

 Ioane Muni Toke
Quantitative Finance, 2015, 15 (5), pp.795-808. ⟨10.1080/14697688.2014.963654⟩
Article dans une revue hal-01006410v1

GPU based sparse grid technique for solving multidimensional options pricing PDEs

 Ioane Muni Toke , Abhijeet Gaikwad , Ioane Muni Toke
WHPCF '09 - 2nd Workshop on High Performance Computational Finance, Nov 2009, Portland, United States. pp.1-9
Communication dans un congrès hal-02177389v1

On completion times in a two-class priority queue with impatience

 Ioane Muni Toke
International Journal of Mathematics in Operational Research, 2014, 6 (3), pp.377. ⟨10.1504/IJMOR.2014.060855⟩
Article dans une revue hal-02177396v1
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Modelling Trades-Through in a Limit Order Book Using Hawkes Processes

 Ioane Muni Toke , Fabrizio Pomponio
Economics , 2012, 6 (2012-22), ⟨10.5018/economics-ejournal.ja.2012-22⟩
Article dans une revue hal-00745554v1
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Econophysics review: I. Empirical facts

 Anirban Chakraborti , Ioane Muni Toke , Marco Patriarca , Frédéric Abergel
Quantitative Finance, 2011, 11 (7), pp.991-1012. ⟨10.1080/14697688.2010.539248⟩
Article dans une revue hal-00621058v1
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Testing the causality of Hawkes processes with time reversal

 Marcus Cordi , Damien Challet , Ioane Muni Toke
Journal of Statistical Mechanics: Theory and Experiment, 2018, ⟨10.1088/1742-5468/aaac3f⟩
Article dans une revue hal-01593448v1
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Modelling intensities of order flows in a limit order book

 Ioane Muni Toke , Nakahiro Yoshida
Quantitative Finance, 2017, 17 (5), pp.683 - 701. ⟨10.1080/14697688.2016.1236210⟩
Article dans une revue hal-01705080v1

A Few Simulation Results of Basic Models of Limit Order Books

 Ioane Muni Toke
New Perspectives and Challenges in Econophysics and Sociophysics, pp.35-48, 2019, ⟨10.1007/978-3-030-11364-3_3⟩
Chapitre d'ouvrage hal-02184682v1

Monte Carlo valuation of multidimensional American options through Grid computing

 Ioane Muni Toke , Jy Girard
Lecture Notes in Computer Science, 2006, 3743, pp.462-469. ⟨10.1007/11666806_53⟩
Article dans une revue istex hal-00133257v1
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