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Forecasting Quoted Depth With the Limit Order Book [PDF]
Frontiers in Artificial Intelligence, 2021 Liquidity plays a vital role in the financial markets, affecting a myriad of factors including stock prices, returns, and risk. In the stock market, liquidity is usually measured through the order book, which captures the orders placed by traders to buy ...
Daniel Libman, Simi Haber, Mary Schaps
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LiT: limit order book transformer [PDF]
Frontiers in Artificial IntelligenceWhile the transformer architecture has demonstrated strong success in natural language processing and computer vision, its application to limit order book forecasting, particularly in capturing spatial and temporal dependencies, remains limited.
Yue Xiao +5 more
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Asynchronous Deep Double Dueling Q-learning for trading-signal execution in limit order book markets [PDF]
Frontiers in Artificial Intelligence, 2023 We employ deep reinforcement learning (RL) to train an agent to successfully translate a high-frequency trading signal into a trading strategy that places individual limit orders.
Peer Nagy +4 more
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Characterizing limit order books in call auctions of a stock market. [PDF]
PLoS ONEStatistical and dynamical characteristics of stock markets have been extensively studied, providing a solid basis for econophysics and its application as "stylized facts". However, most of those studies are for markets under the continuous auction, i.e.,
Shota Nagumo, Takashi Shimada
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Limit Order Book and Short-term Stock Price Movement Predictability: Evidence from Tehran Stock Exchange [PDF]
Journal of Asset Management and Financing, 2020 Objective: Open limit order book can be used as a tool to enhance transparency and price discovery in financial markets by showing the offered volumes and prices of buy and sell orders. In this study, we aim to answer two questions by examining the limit
Ali Ebrahimnejad +2 more
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Spoofing the Limit Order Book: A Strategic Agent-Based Analysis
Games, 2021 We present an agent-based model of manipulating prices in financial markets through spoofing: submitting spurious orders to mislead traders who learn from the order book. Our model captures a complex market environment for a single security, whose common
Xintong Wang +3 more
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The Relation between Intraday Limit Order Book Depth and Spread
International Journal of Financial Studies, 2021 Prior studies that examine the relation between market depth and bid–ask spread are often limited to the first level of the limit order book. However, the full limit order book provides important information beyond the first level about the depth and ...
Alexandre Aidov, Olesya Lobanova
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HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS [PDF]
Probability in the Engineering and Informational Sciences, 2016 In this paper, we establish a fluid limit for a two-sided Markov order book model. The main result states that in a certain asymptotic regime, a pair of measure-valued processes representing the “sell-side shape” and “buy-side shape” of an order book converges to a pair of deterministic measure-valued processes in a certain sense.
Xuefeng Gao, S. J. Deng
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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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