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Price Jump Prediction in Limit Order Book [PDF]
SSRN Electronic Journal, 2012 A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that liquidity balance on best bid/best ask is quite informative for predicting the future market order's direction ...
Ban Zheng +2 more
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A Law of Large Numbers for Limit Order Books [PDF]
Mathematics of Operations Research, 2017 We define a stochastic model of a two-sided limit order book in terms of its key quantities best bid [ask] price and the standing buy [sell] volume density. For a simple scaling of the discreteness parameters, that keeps the expected volume rate over the considered price interval invariant, we prove a limit theorem.
Ulrich Horst, Michael Paulsen
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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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Analyses of Daily Market Impact Using Execution and Order Book Information
Frontiers in Physics, 2020 We analyzed the Tokyo Stock Exchange (TSE) for a 29-month period from August 2014 to December 2016, including every transaction and order book snapshot, and confirmed through a simple statistical test that the market impact depends on each stock.
Kenta Yamada +2 more
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An empirical behavioral order-driven model with price limit rules
Financial Innovation, 2021 We propose an empirical behavioral order-driven (EBOD) model with price limit rules, which consists of an order placement process and an order cancellation process.
Gao-Feng Gu +6 more
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Entropy, 2023 This study bridges finance and physics by applying thermodynamic concepts to model the limit order book (LOB) with high-frequency trading data on the Bitcoin spot.
Haochen Li +3 more
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Does Anonymity Matter in Electronic Limit Order Markets? [PDF]
, 2004 Lecture on the first SFB/TR 15 meeting, Gummersbach, July, 18 - 20, 2004We develop a model of limit order trading in which some traders have better information on future price volatility.
Foucault, Thierry +2 more
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Econometrics, 2023 Time-series data, which exhibit a low signal-to-noise ratio, non-stationarity, and non-linearity, are commonly seen in high-frequency stock trading, where the objective is to increase the likelihood of profit by taking advantage of tiny discrepancies in ...
Chengyu Li, Luyi Shen, Guoqi Qian
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Order Book Dynamics with Liquidity Fluctuations: Asymptotic Analysis of Highly Competitive Regime
Mathematics, 2023 We introduce a class of Markov models to describe the bid–ask price dynamics in the presence of liquidity fluctuations. In a highly competitive regime, the spread evolution belongs to a class of Markov processes known as a population process with uniform
Helder Rojas +2 more
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