Results 31 to 40 of about 205,451 (305)
The Impact of Hidden Liquidity in Limit Order Books [PDF]
SSRN Electronic Journal, 2009 We show that the order submission strategies of liquidity demanders and suppliers change when the observed price dynamics signal that the order book is likely to contain hidden liquidity. We combine the signals of hidden liquidity that can be extracted from the price dynamics with the actual data on hidden liquidity to differentiate between situations ...
Frey, Stefan, Sandas, Patrik
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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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Machine Learning for Forecasting Mid-Price Movements Using Limit Order Book Data
IEEE Access, 2019 Forecasting the movements of stock prices is one of the most challenging problems in financial markets analysis. In this paper, we use machine learning (ML) algorithms for the prediction of future price movements using limit order book data.
Paraskevi Nousi +7 more
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Deep learning for limit order books [PDF]
Quantitative Finance, 2018 This paper develops a new neural network architecture for modeling spatial distributions (i.e., distributions on R^d) which is computationally efficient and specifically designed to take advantage of the spatial structure of limit order books. The new architecture yields a low-dimensional model of price movements deep into the limit order book ...
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A limit order book model for latency arbitrage [PDF]
Mathematics and Financial Economics, 2011 We consider a single security market based on a limit order book and two investors, with different speeds of trade execution. If the fast investor can front-run the slower investor, we show that this allows the fast trader to obtain risk free profits, but that these profits cannot be scaled.
Samuel N. Cohen, Lukasz Szpruch
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Is BEST Really Better? Internalization of Orders in an Open Limit Order Book [PDF]
, 2011 This paper studies the market quality of an internalization system which is designed as part of an open limit order book (the Xetra system operated by Deutsche Börse AG).
Grammig, Joachim +4 more
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Trading strategies of institutional investors in a limit order book market
MATEC Web of Conferences, 2016 The study aims to examine the trading strategies of institutional investors in limit order book market. The study modifies assumptions of prior studies [1,2] to match actual situations or facilitate calculations.
chen Naiwei, Peng Mingxu
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Optimal inventory management and order book modeling * [PDF]
ESAIM: Proceedings and Surveys, 2019 We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB).
Baradel Nicolas +3 more
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Economies, 2021 The purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond markets and to assess the driving factors behind the magnitude of the spill-overs between different markets.
Linas Jurksas +2 more
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Second order approximations for limit order books [PDF]
Finance and Stochastics, 2018 In this paper we derive a second order approximation for an infinite dimensional limit order book model, in which the dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator (e.g.~the volume standing at the top of the book).
Ulrich Horst, Dörte Kreher
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