On the dark side of the market: identifying and analyzing hidden order placements [PDF]
, 2012 Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders’ use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread.
Hautsch, Nikolaus, Huang, Ruihong
core
Limit Order Book Simulations: A Review
SSRN Electronic JournalLimit Order Books (LOBs) serve as a mechanism for buyers and sellers to interact with each other in the financial markets. Modelling and simulating LOBs is quite often necessary for calibrating and fine-tuning the automated trading strategies developed in algorithmic trading research.
Jain, Konark +3 more
openaire +2 more sources
Activism as a long durée journey: Teachers against the Chilean neoliberal education model
British Educational Research Journal, EarlyView.Abstract In this paper, I use the idea of purposes of education, particularly subjectification, and the concept of love to explore long‐term teacher activism in Chile. ‘Long‐term activism’ is used to describe an ongoing struggle rather than activism confined to specific moments.
Carla Tapia‐Parada
wiley +1 more source
Spot Volatility Measurement Using a Change-Point Duration Model in the High-Frequency Market
International Journal of Financial StudiesModeling high-frequency volatility is an important topic of market microstructure, as it provides the empirical tools to measure and analyze the rapid price movements.
Zhicheng Li, Haipeng Xing, Yan Wang
doaj +1 more source
The future in a bubble: Supporting Finnish early childhood professionals working in diverse settings
British Educational Research Journal, EarlyView.Abstract The purpose of this study was to contribute to the knowledge about early childhood education and care (ECEC) personnel's perception of the support structures that are most effective in assisting them in their work with culturally and linguistically diverse children.
Alexandra C. Anton +2 more
wiley +1 more source
Intraday Market Dynamics Around Public Information Arrivals [PDF]
I analyze the price discovery, liquidity provision, and transaction-cost components driven by the real-time firm-specific news at the Paris Bourse. I find that the news impact depends on which type of news bulletin is released.
Angelo Ranaldo
core
Limit order book resilience and cross impact limit order book model [PDF]
This thesis comprises of five chapters. The first chapter gives a brief introduction on the existing literature about the optimal trading order execution problem, the concept of limit order book, market impact models and their underlying market microstructure.
openaire
Understanding exam access arrangements in practice: Challenges and opportunities
British Educational Research Journal, EarlyView.Abstract Secondary students with specific learning difficulties (SpLD) often face challenges with academic tasks, particularly with high‐stakes examinations. Exam access arrangements (EAA) are provided as reasonable adjustments to reduce disadvantage for students with SpLD.
Catherine Antalek +2 more
wiley +1 more source
Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book [PDF]
This paper describes and analyzes the implementation of a crawling exchange rate band on an electronic trading platform. The placement of limit orders at the central bank’s target rate serves as a credible policy statement that may coordinate beliefs of ...
Michael Melvin +2 more
core
A functional limit theorem for limit order books with state dependent price dynamics
, 2017 We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). Our model is flexible enough to allow for a dependence of the price dynamics on volumes.
Ulrich Horst +5 more
core +1 more source