Results 291 to 300 of about 205,451 (305)

A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies

Mathematics of Operations Research, 2018
Frank Kelly, Elena Yudovina
exaly  

Modelling intensities of order flows in a limit order book

Quantitative Finance, 2017
Ioane Muni Toke, Nakahiro Yoshida
exaly  

Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach

European Financial Management, 2015
Peter Gomber, Erik Theissen
exaly  

Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data

Quantitative Finance, 2019
Juho Kanniainen, Moncef Gabbouj, Alexandros Iosifidis   +2 more
exaly  

Long-Time Behavior of a Hawkes Process--Based Limit Order Book

SIAM Journal on Financial Mathematics, 2015
Frédéric Abergel
exaly  

Characteristics of the order flow through an electronic open limit order book

Journal of International Financial Markets, Institutions and Money, 1999
Philip Brown
exaly  

Benchmark dataset for mid‐price forecasting of limit order book data with machine learning methods

Journal of Forecasting, 2018
Adamantios Ntakaris, Juho Kanniainen, Moncef Gabbouj   +2 more
exaly  

Electronic limit order book and order submission choice around macroeconomic news

Review of Financial Economics, 2009
Grigori Erenburg
exaly  

LIMIT ORDER BOOKS: MODELS

2018
openaire   +1 more source

Optimal Execution in a General One-Sided Limit-Order Book

SIAM Journal on Financial Mathematics, 2011
Steven E Shreve
exaly