Results 1 to 10 of about 1,356,021 (165)
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
doaj +5 more sources
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
doaj +2 more sources
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. Our 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 ...
Deng, S. J., Gao, Xuefeng
core +4 more sources
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
doaj +2 more sources
Limit order books and trade informativeness [PDF]
SSRN Electronic Journal, 2011 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 ...
Beltran-Lopez, Hélena +2 more
core +7 more sources
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
doaj +2 more sources
Cancellation and Uncertainty Aversion on Limit Order Books [PDF]
, 2004 This paper models limit order books where each trader is uncertain of the underlying distribution in the asset's value to others. If this uncertainty is rapidly resolved, eeting limit orders are submitted and quickly cancelled.
Jeremy Large
core +3 more sources
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source