Results 231 to 240 of about 39,952 (260)
Some of the next articles are maybe not open access.
A Bidding Game in a Continuum Limit Order Book
SIAM Journal on Control and Optimization, 2013The paper is concerned with a continuum model of the limit order book, viewed as a noncooperative game for $n$ players. An external buyer asks for a random amount $X > 0$ of a given asset. This amount will be bought at the lowest available price, as long as the price does not exceed a given upper bound $\overline{P}$.
Alberto Bressan, Giancarlo Facchi
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ON MEASURING THE COST OF LIQUIDITY IN THE LIMIT ORDER BOOK
2020The work is devoted to the elaboration and demonstration of a method for measuring the cost of illiquidity in the delta hedging of futures-style options on the Moscow Exchange. Illiquidity is usually measured per unit of asset or money. However, given the specifics of futures, this article proposes to use the total volume of the initial margin and the ...
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Models of the limit order book
2009The models presented in the previous chapters describe the price formation process in markets with different structures. As we saw in Figure 1.2, among the markets with trade pricing rules, those governed by an order-driven execution system can be organized either as a continuous or as a call auction, while markets with a quote-driven system can be ...
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Algorithmic trading in a microstructural limit order book model
Quantitative Finance, 2020Frédéric Abergel, Come Huré
exaly
Optimal order placement in limit order book markets
2016Aufgrund vorherrschender Prioritätsregeln betreffend Zeitpunkt und Preis in Limit-Order-Book-Märkten hat eine zum Zeitpunkt t0 und zum Preis p platzierte Buy-Limit-Order der Größe n ein gewisses Volumen an Aktien vor sich. Diese Aktien werden bevorzugt gehandelt, da sie entweder einen besseren Preis aufweisen oder bei gleichem Preis früher platziert ...
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Order Execution and Limit Order Book
2015Ali N. Akansu, Mustafa U. TorunTorun
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A generative model of a limit order book using recurrent neural networks
Quantitative Finance, 2023Hanna Hultin +2 more
exaly
The information content of the limit order book: evidence from NYSE specialist trading decisions
Journal of Financial Markets, 2005Venkaṭesh Panchapagesan
exaly
Limit Order Book and Commonality in Liquidity
Financial Review, 2013Wenjin Kang, Huiping Zhang
exaly