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2016
A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer.
Abergel, Frédéric +4 more
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A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer.
Abergel, Frédéric +4 more
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Order aggressiveness in limit order book markets
Journal of Financial Markets, 2004I examine the information content of a limit order book in a purely order-driven market. I analyze how the state of the limit order book affects a trader's strategy. I develop an econometric technique to study order aggressiveness and provide empirical evidence on the recent theoretical models on limit order book markets.
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Resiliency of the limit order book
Journal of Economic Dynamics and Control, 2015zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lo, Danny K., Hall, Anthony D.
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Mid-Price Prediction in a Limit Order Book
IEEE Journal of Selected Topics in Signal Processing, 2014We propose several nonparametric predictors of the mid-price in a limit order book, based on different features constructed from the order book data observed contemporaneously. contemporaneously and in the recent past. We evaluate our predictors in the context of an order execution task by constructing order execution strategies that incorporate these ...
Deepan Palguna, Ilya Pollak
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2013
Abstract This chapter discusses limit order book (LOB) markets. Section 6.2 analyzes a static model of the optimal bidding strategies for limit order traders and Section 6.3 applies the model to study various issues regarding the design of limit order markets: the impact of tick size, the role of priority rules, and the role of ...
Thierry Foucault +2 more
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Abstract This chapter discusses limit order book (LOB) markets. Section 6.2 analyzes a static model of the optimal bidding strategies for limit order traders and Section 6.3 applies the model to study various issues regarding the design of limit order markets: the impact of tick size, the role of priority rules, and the role of ...
Thierry Foucault +2 more
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Non-parametric prediction in a limit order book
2013 IEEE Global Conference on Signal and Information Processing, 2013Many securities markets are organized as double auctions where each incoming limit order-i.e., an order to buy or sell at a specific price-is stored in a data structure called the limit order book [1]. A trade happens whenever a marketable order arrives-i.e., an order to buy or sell at the best currently available price on the opposite side of the ...
Deepan Palguna, Ilya Pollak
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