Results 251 to 260 of about 1,356,140 (281)

GENERAL SEMI-MARKOV MODEL FOR LIMIT ORDER BOOKS

International Journal of Theoretical and Applied Finance, 2017
The paper considers a general semi-Markov model for limit order books with two states that incorporates price changes that are not fixed to one tick. Furthermore, we introduce an even more general case of the semi-Markov model for limit order books that incorporates an arbitrary number of states for the price changes.
ANATOLIY SWISHCHUK, TYLER HOFMEISTER, KATHARINA CERA, JULIA SCHMIDT   +3 more
openaire   +2 more sources

Comparison of Limit Order Book Models

2021
In recent years, almost all major exchanges in the world have switched to electronic orderbooks. These automatically store incoming limit orders and execute them against the best possible price. Due to this change, the models of order books have also changed. This thesis deals with the analysis and description of different order book models.
openaire   +1 more source

Limits of Limit-Order Books

2022
Christopher Almost, John Lehoczky, Steven Shreve, Xiaofeng Yu   +3 more
openaire   +1 more source

Models of the limit order book

2009
The models presented in the previous chapters describe the price formation process in markets with different structures. As we saw in Figure 1.2, among the markets with trade pricing rules, those governed by an order-driven execution system can be organized either as a continuous or as a call auction, while markets with a quote-driven system can be ...
openaire   +1 more source

Time-varying Limit Order Book Networks

2018
This paper analyzes the market impact of limit order books (LOB) taking crossstock effects into account. Based on penalized vector autoregressive approach, we aim to identify significance and magnitude of the directed network channels within and between LOBs by bootstrapped impulse response functions. Moreover, information on asymmetries and imbalances
Härdle, Wolfgang Karl, Chen, Shi, Liang, Chong, Schienle, Melanie   +3 more
openaire   +1 more source

Is the Electronic Open Limit Order Book Inevitable?

Journal of Finance, 1994
Lawrence R Glosten
exaly   +2 more sources

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

Journal of Finance, 1995
Bruno Biais, Chester Spatt
exaly   +2 more sources

Optimal Trading with Limit Orders on a Dynamic Limit Order Book

SSRN Electronic Journal, 2014
openaire   +1 more source

Limit Order Books

2018
openaire   +1 more source

Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity

Journal of Banking and Finance, 2019
Todd G Griffith, Brian S Roseman
exaly