Results 11 to 20 of about 1,356,140 (281)
The Relation between Intraday Limit Order Book Depth and Spread
International Journal of Financial Studies, 2021 Prior studies that examine the relation between market depth and bid–ask spread are often limited to the first level of the limit order book. However, the full limit order book provides important information beyond the first level about the depth and ...
Alexandre Aidov, Olesya Lobanova
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Quasi-Centralized Limit Order Books [PDF]
SSRN Electronic Journal, 2015 43 pages, 18 ...
Martin D. Gould +2 more
openaire +4 more sources
The limit order book on different time scales [PDF]
, 1996 Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses over to a more systematic global behavior.Comment: 11 ...
Beckman, JE +4 more
core +3 more sources
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
doaj +1 more source
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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Trade informativeness and liquidity in Bitcoin markets.
PLoS ONE, 2021 Liquid markets are driven by information asymmetries and the injection of new information in trades into market prices. Where market matching uses an electronic limit order book (LOB), limit orders traders may make suboptimal price and trade decisions ...
J Christopher Westland
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Entropy, 2022 Traders who instantly react to changes in the financial market and place orders in milliseconds are called high-frequency traders (HFTs). HFTs have recently become more prevalent and attracting attention in the study of market microstructures.
Hiroki Watari +2 more
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