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Forecasting Quoted Depth With the Limit Order Book. [PDF]
Front Artif Intell, 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 and sell stocks at different price points.
Libman D, Haber S, Schaps M.
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LiT: limit order book transformer. [PDF]
Front Artif IntellWhile 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. In this work, we introduce Limit Order Book Transformer (LiT), a novel deep learning architecture for ...
Xiao Y +5 more
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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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The Impact of Iceberg Orders in Limit Order Books [PDF]
SSRN Electronic Journal, 2009 We examine the impact of iceberg orders on the price and order flow dynamics in limit order books. Iceberg orders allow traders to simultaneously hide a large portion of their order size and signal their interest in trading to the market. We show that when market participants detect iceberg orders they tend to strongly respond by submitting matching ...
Frey, Stefan, Sandås, Patrik
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Limit Order Books and Trade Informativeness [PDF]
SSRN Electronic Journal, 2006 In the microstructure literature, information asymmetry is an important determinant of market liquidity. The classic setting is that uninformed dedicated liquidity suppliers charge price concessions when incoming market orders are likely to be informationally motivated.
Beltran-Lopez, Hélena +2 more
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Quasi-Centralized Limit Order Books [PDF]
SSRN Electronic Journal, 2015 43 pages, 18 ...
Martin D. Gould +2 more
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Limit Order Book as a Market for Liquidity [PDF]
SSRN Electronic Journal, 2001 We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must trade, yet can choose the type of order and are fully strategic in their decision. Traders differ by their impatience: less patient traders demand liquidity, more patient traders provide it. Three equilibrium patterns are obtained - the
Thierry Foucault +2 more
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Analyzing an Electronic Limit Order Book [PDF]
The R Journal, 2011 The orderbook package provides facilities for exploring and visualizing the data associated with an order book: the electronic collection of the outstanding limit orders for a financial instrument, e.g. a stock. A limit order is an order to buy or sell a given quantity of stock at a specified limit price or better.
Kane, David, Liu, Andrew, Nguyen, Khanh
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