Results 81 to 90 of about 205,451 (305)
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market [PDF]
In this paper, we investigate the buy and sell arrival process in a limit order book market. Using an intensity framework allows to estimate the simultaneous buy and sell intensity and to derive a continuous-time measure for the buy-sell pressure in the ...
Anthony D. Hall, Nikolaus Hautsch
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Modeling Stock Price Changes Based on Microstructural Market Data
Финансы: теория и практика, 2018 In modern electronic stock exchanges there is an opportunity to analyze event driven market microstructure data. This data is highly informative and describes physical price formation which makes it possible to find complex patterns in price dynamics. It
N. A. Bilev
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American Journal of Community Psychology, EarlyView.Abstract In Santa Barbara County, the Youth Empowerment Services (YES) Program brought together several government and community‐based organizations, as well as a university‐based evaluation team, to provide pre‐adjudication diversion to youth ages 12 to 17.
Angela Pollard +7 more
wiley +1 more source
Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk [PDF]
This paper builds on the landmark contribution of Glosten (1994) by treating the determination of limit order supply schedules as an exercise in asset pricing theory with the possible sizes of incoming market orders as the value-relevant states of nature,
Bruce Lehmann
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Applied SciencesThis paper introduces a novel deep learning approach for intraday stock price direction prediction, motivated by the need for more accurate models to enable profitable algorithmic trading.
Ilia Zaznov +3 more
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Melatonin Levels in 89 Individuals With Smith Magenis Syndrome
American Journal of Medical Genetics Part A, EarlyView.ABSTRACT In patients with Smith–Magenis syndrome (SMS), an inverted circadian rhythm of melatonin (MT) contributes to the sleep disturbance. Standard treatment of sleep disturbance with MT often leads to extremely high daytime MT levels, resulting in even more sleep disorders. We therefore retrospectively evaluated the MT data of 89 SMS patients.
Wiebe Braam, Ann C. M. Smith
wiley +1 more source
Hawkes model specification for limit order books
, 2022 This paper discusses Hawkes modeling of order arrivals in limit order books. We model the flow of market orders, limit orders, and cancelations by a self- and crossexciting multitype marked Hawkes process with state-dependent baseline intensities.
Vetter, Sebastian, Kirchner, Matthias
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American Journal of Medical Genetics Part B: Neuropsychiatric Genetics, EarlyView.ABSTRACT This study aims to prospectively collect harmonized, quantitative, and dimensional psychiatric phenotypes (suicidality, anhedonia, and obsessive‐compulsive symptoms) and information on discrimination, stigma, and unfair treatment in up to 27,500 individuals across diverse ancestries and clinical populations for genetic analysis within the NIMH
Ana M. Diaz‐Zuluaga +36 more
wiley +1 more source
Price Dynamics in a Markovian Limit Order Market [PDF]
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical tractability, the
Rama Cont, Adrien De Larrard
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MathematicsIn recent years, high-frequency trading has become increasingly popular in financial markets, making the dynamic modeling of the limit book and the optimization of market maker strategies become key topics. However, existing studies often lacked detailed
Fei Xie +3 more
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