Results 11 to 20 of about 44,591 (304)
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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Is Best Really Better? Internalization of Orders in an Open Limit Order Book [PDF]
Schmalenbach Business Review, 2012 We study the market quality of the Xetra BEST system operated by Deutsche Borse AG, an internalization system designed as part of an open limit order book, which guarantees a price improvement over the inside spread in the Xetra order book. We develop a structural model of this dual market environment and show that adverse selection costs of ...
Grammig, Joachim, Theissen, Erik
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Deep Limit Order Book Forecasting [PDF]
CoRR43 pages, 14 figures, 12 ...
Antonio Briola +2 more
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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, fleeting limit orders are submitted and quickly cancelled. This enhances liquidity supply, but leaves intact established comparative statics results on spreads.
Jeremy Large
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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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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
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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
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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
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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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