Results 11 to 20 of about 205,451 (305)
A market-clearing role for inefficiency on a limit order book [PDF]
Journal of Financial Economics, 2007 Using a stochastic sequential game, this paper models limit order book trading dynamics. It deduces ex ante surplus and some agents' strategies by using an intuitive stationarity property of equilibrium. This largely bypasses any need for direct analysis of agents' (traders') intricate forecasting problems.
Jeremy Large
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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, fleeting limit orders are submitted and quickly cancelled. This enhances liquidity supply, but leaves intact established comparative statics results on spreads.
Jeremy Large
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Deep Limit Order Book Forecasting
CoRR43 pages, 14 figures, 12 ...
Antonio Briola +2 more
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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. Traders differ by their impatience: less patient traders demand liquidity, more patient traders provide it. Three equilibrium patterns are obtained - the
Thierry Foucault +2 more
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Transparency & Quality: The Impact of Increasing Limit Order Book levels on Tehran Stock Exchange [PDF]
تحقیقات مالی, 2018 Objective: One of the common tools used to make pre-trade transparency in financial markets is the Limit Order Book. In spite of several researches on the Limit Order Book, there is no consensus about the impact of increasing pre-trade transparency on ...
Mahdi Heidari +1 more
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Analyzing an Electronic Limit Order Book [PDF]
The R Journal, 2011 The orderbook package provides facilities for exploring and visualizing the data associated with an order book: the electronic collection of the outstanding limit orders for a financial instrument, e.g. a stock. A limit order is an order to buy or sell a given quantity of stock at a specified limit price or better.
Kane, David, Liu, Andrew, Nguyen, Khanh
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A Signature Transform of Limit Order Book Data for Stock Price Prediction
IEEE Access, 2023 A novel approach is presented for predicting the mean-mid stock price by utilizing high-frequency and complex limit order book (LOB) data as inputs for machine learning algorithms.
Thendo Sidogi +4 more
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Predicting Stock Price Changes Based on the Limit Order Book: A Survey
Mathematics, 2022 This survey starts with a general overview of the strategies for stock price change predictions based on market data and in particular Limit Order Book (LOB) data.
Ilia Zaznov +3 more
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Carry Forward Modeling for High-Frequency Limit-Order Executions: An Emerging Market Perspective
American Business Review, 2022 In this study, we estimate the order execution probability of a limit-order book (LOB) and analyze its determinants using high-frequency LOB data from the National Stock Exchange (NSE) of India.
Aritra Pan, Arun Kumar Misra
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LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY [PDF]
Mathematical Finance, 2012 We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in which the goal is to maximize the expected revenue from liquidating the entire position held.
Bayraktar, Erhan, Ludkovski, Michael
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