Results 11 to 20 of about 1,356,140 (282)
Quasi-Centralized Limit Order Books [PDF]
SSRN Electronic Journal, 2015 43 pages, 18 ...
Martin D. Gould +2 more
openaire +4 more sources
The limit order book on different time scales [PDF]
, 1996 Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses over to a more systematic global behavior.Comment: 11 ...
Beckman, JE +4 more
core +3 more sources
Transparency & Quality: The Impact of Increasing Limit Order Book levels on Tehran Stock Exchange [PDF]
تحقیقات مالی, 2018 Objective: One of the common tools used to make pre-trade transparency in financial markets is the Limit Order Book. In spite of several researches on the Limit Order Book, there is no consensus about the impact of increasing pre-trade transparency on ...
Mahdi Heidari +1 more
doaj +1 more source
A Signature Transform of Limit Order Book Data for Stock Price Prediction
IEEE Access, 2023 A novel approach is presented for predicting the mean-mid stock price by utilizing high-frequency and complex limit order book (LOB) data as inputs for machine learning algorithms.
Thendo Sidogi +4 more
doaj +1 more source
Predicting Stock Price Changes Based on the Limit Order Book: A Survey
Mathematics, 2022 This survey starts with a general overview of the strategies for stock price change predictions based on market data and in particular Limit Order Book (LOB) data.
Ilia Zaznov +3 more
doaj +1 more source
Carry Forward Modeling for High-Frequency Limit-Order Executions: An Emerging Market Perspective
American Business Review, 2022 In this study, we estimate the order execution probability of a limit-order book (LOB) and analyze its determinants using high-frequency LOB data from the National Stock Exchange (NSE) of India.
Aritra Pan, Arun Kumar Misra
doaj +1 more source
Order Book Dynamics with Liquidity Fluctuations: Asymptotic Analysis of Highly Competitive Regime
Mathematics, 2023 We introduce a class of Markov models to describe the bid–ask price dynamics in the presence of liquidity fluctuations. In a highly competitive regime, the spread evolution belongs to a class of Markov processes known as a population process with uniform
Helder Rojas +2 more
doaj +1 more source
Trade informativeness and liquidity in Bitcoin markets.
PLoS ONE, 2021 Liquid markets are driven by information asymmetries and the injection of new information in trades into market prices. Where market matching uses an electronic limit order book (LOB), limit orders traders may make suboptimal price and trade decisions ...
J Christopher Westland
doaj +1 more source
Analyses of Daily Market Impact Using Execution and Order Book Information
Frontiers in Physics, 2020 We analyzed the Tokyo Stock Exchange (TSE) for a 29-month period from August 2014 to December 2016, including every transaction and order book snapshot, and confirmed through a simple statistical test that the market impact depends on each stock.
Kenta Yamada +2 more
doaj +1 more source