Results 21 to 30 of about 1,356,140 (281)
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
openaire +5 more sources
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
openaire +3 more sources
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
doaj +1 more source
Algorithmic trading in a microstructural limit order book model [PDF]
, 2019 We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). In this context, the limit orders, market orders, and cancel orders arrivals in the LOB are modeled as Cox ...
Abergel, Frédéric +2 more
core +2 more sources
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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Mutual Information between Order Book Layers
Entropy, 2022 The order book is a list of all current buy or sell orders for a given financial security. The rise of electronic stock exchanges introduced a debate about the relevance of the information it encapsulates of the activity of traders.
Daniel Libman +3 more
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Compound Hawkes processes in limit order books [PDF]
, 2019 24 pages, 16 figures.
Swishchuk, Anatoliy +3 more
openaire +2 more sources