Results 241 to 250 of about 39,952 (260)

What pieces of limit order book information matter in explaining order choice by patient and impatient traders?

Quantitative Finance, 2009
Roberto Pascual, David Veredas
exaly  

Optimal Trading with Limit Orders on a Dynamic Limit Order Book

SSRN Electronic Journal, 2014
openaire   +1 more source

The information content of a limit order book: The case of an FX market

Journal of Financial Markets, 2012
Roman Kozhan, Mark Salmon
exaly  

Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity

Journal of Banking and Finance, 2019
Todd G Griffith, Brian S Roseman
exaly  

A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics

SIAM Journal on Financial Mathematics, 2017
Ulrich Horst
exaly  

Limit Order Books

2018
openaire   +1 more source

A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies

Mathematics of Operations Research, 2018
Frank Kelly, Elena Yudovina
exaly  

Modelling intensities of order flows in a limit order book

Quantitative Finance, 2017
Ioane Muni Toke, Nakahiro Yoshida
exaly  

Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach

European Financial Management, 2015
Peter Gomber, Erik Theissen
exaly  

Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data

Quantitative Finance, 2019
Juho Kanniainen, Moncef Gabbouj, Alexandros Iosifidis   +2 more
exaly