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Forecasting Quoted Depth With the Limit Order Book [PDF]
Frontiers in Artificial Intelligence, 2021 Liquidity plays a vital role in the financial markets, affecting a myriad of factors including stock prices, returns, and risk. In the stock market, liquidity is usually measured through the order book, which captures the orders placed by traders to buy ...
Daniel Libman, Simi Haber, Mary Schaps
doaj +5 more sources
LiT: limit order book transformer [PDF]
Frontiers in Artificial IntelligenceWhile the transformer architecture has demonstrated strong success in natural language processing and computer vision, its application to limit order book forecasting, particularly in capturing spatial and temporal dependencies, remains limited.
Yue Xiao +5 more
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Asynchronous Deep Double Dueling Q-learning for trading-signal execution in limit order book markets [PDF]
Frontiers in Artificial Intelligence, 2023 We employ deep reinforcement learning (RL) to train an agent to successfully translate a high-frequency trading signal into a trading strategy that places individual limit orders.
Peer Nagy +4 more
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Limit order books and trade informativeness [PDF]
SSRN Electronic Journal, 2011 In the microstructure literature, information asymmetry is an important determinant of market liquidity. The classic setting is that uninformed dedicated liquidity suppliers charge price concessions when incoming market orders are likely to be ...
Beltran-Lopez, Hélena +2 more
core +7 more sources
Designating market maker behaviour in Limit Order Book markets [PDF]
SSRN Electronic Journal, 2015 Financial exchanges provide incentives for limit order book (LOB) liquidity provision to certain market participants, termed designated market makers or designated sponsors.
Danielsson, Jon +3 more
core +4 more sources
Characterizing limit order books in call auctions of a stock market. [PDF]
PLoS ONEStatistical and dynamical characteristics of stock markets have been extensively studied, providing a solid basis for econophysics and its application as "stylized facts". However, most of those studies are for markets under the continuous auction, i.e.,
Shota Nagumo, Takashi Shimada
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Limit order book as a market for liquidity [PDF]
SSRN Electronic Journal, 2001 We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must trade, yet can choose the type of order and are fully strategic in their decision.
FOUCAULT, Thierry +2 more
core +6 more sources
Cancellation and Uncertainty Aversion on Limit Order Books [PDF]
, 2004 This paper models limit order books where each trader is uncertain of the underlying distribution in the asset's value to others. If this uncertainty is rapidly resolved, eeting limit orders are submitted and quickly cancelled.
Jeremy Large
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Limit Order Book and Short-term Stock Price Movement Predictability: Evidence from Tehran Stock Exchange [PDF]
Journal of Asset Management and Financing, 2020 Objective: Open limit order book can be used as a tool to enhance transparency and price discovery in financial markets by showing the offered volumes and prices of buy and sell orders. In this study, we aim to answer two questions by examining the limit
Ali Ebrahimnejad +2 more
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Spoofing the Limit Order Book: A Strategic Agent-Based Analysis
Games, 2021 We present an agent-based model of manipulating prices in financial markets through spoofing: submitting spurious orders to mislead traders who learn from the order book. Our model captures a complex market environment for a single security, whose common
Xintong Wang +3 more
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