Results 271 to 280 of about 205,451 (305)

Resiliency of the limit order book

Journal of Economic Dynamics and Control, 2015
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Lo, Danny K., Hall, Anthony D.
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Mid-Price Prediction in a Limit Order Book

IEEE Journal of Selected Topics in Signal Processing, 2014
We propose several nonparametric predictors of the mid-price in a limit order book, based on different features constructed from the order book data observed contemporaneously. contemporaneously and in the recent past. We evaluate our predictors in the context of an order execution task by constructing order execution strategies that incorporate these ...
Deepan Palguna, Ilya Pollak
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Non-parametric prediction in a limit order book

2013 IEEE Global Conference on Signal and Information Processing, 2013
Many securities markets are organized as double auctions where each incoming limit order-i.e., an order to buy or sell at a specific price-is stored in a data structure called the limit order book [1]. A trade happens whenever a marketable order arrives-i.e., an order to buy or sell at the best currently available price on the opposite side of the ...
Deepan Palguna, Ilya Pollak
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Limit Order Book Markets

2013
Abstract This chapter discusses limit order book (LOB) markets. Section 6.2 analyzes a static model of the optimal bidding strategies for limit order traders and Section 6.3 applies the model to study various issues regarding the design of limit order markets: the impact of tick size, the role of priority rules, and the role of ...
Thierry Foucault, Marco Pagano, Ailsa Röell   +2 more
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A Bidding Game in a Continuum Limit Order Book

SIAM Journal on Control and Optimization, 2013
The paper is concerned with a continuum model of the limit order book, viewed as a noncooperative game for $n$ players. An external buyer asks for a random amount $X > 0$ of a given asset. This amount will be bought at the lowest available price, as long as the price does not exceed a given upper bound $\overline{P}$.
Alberto Bressan, Giancarlo Facchi
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ON MEASURING THE COST OF LIQUIDITY IN THE LIMIT ORDER BOOK

2020
The work is devoted to the elaboration and demonstration of a method for measuring the cost of illiquidity in the delta hedging of futures-style options on the Moscow Exchange. Illiquidity is usually measured per unit of asset or money. However, given the specifics of futures, this article proposes to use the total volume of the initial margin and the ...
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Order aggressiveness in limit order book markets

Journal of Financial Markets, 2004
I examine the information content of a limit order book in a purely order-driven market. I analyze how the state of the limit order book affects a trader's strategy. I develop an econometric technique to study order aggressiveness and provide empirical evidence on the recent theoretical models on limit order book markets.
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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 ...
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Who Benefits from an Open Limit‐Order Book?

The Journal of Business, 2005
The NYSE opened the limit‐order book to off‐exchange traders during trading hours. We address the welfare implications of this change in market structure. We model a market similar to the auction that the exchange uses to open the trading day. We consider two different environments.
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The Information Content of the Limit Order Book

2017
Over the past decade agricultural commodity futures trading has migrated to the electronic platform from the traditional outcry system. Trades in the electronic platform are conducted through a computerized system where all traders submit their orders with their intended prices and number of contracts.
Arzandeh, Mehdi, Frank, Julieta, Arzandeh, Mehdi, Frank, Julieta   +3 more
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