Results 241 to 250 of about 1,356,140 (282)
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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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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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Distilling liquidity costs from limit order books
Journal of Banking & Finance, 2015This paper proposes a method to compute ex-ante trading costs from limit order books. Using nearly 500 of the largest traded companies in the NYSE ArcaBook, we show that these costs have nontrivial intraday dynamics, are negatively related to volume and positively related to volatility, and react to macroeconomic intraday announcements.
Amaya, Diego +3 more
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Second order approximations for limit order books
2017In this paper we derive a second order approximation for an infinite dimensional limit order book model, in which the dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator (e.g.~the volume standing at the top of the book).
Horst, Ulrich, Kreher, D��rte
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Regime Identification in Limit Order Books [PDF]
SSRN Electronic Journal, 2012 This article develops and implements a new methodology for identifying intra-day information regimes in limit order books. Based on Lehmann (2008), in an information regime all the information is trade related and arrives via order flow and, the fundamental value that underlines the prices does not change, it is simply translated by the size of the ...
Rossen Trendafilov, Erick W Rengifo
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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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Who Benefits from an Open Limit‐Order Book?
The Journal of Business, 2005The NYSE opened the limit‐order book to off‐exchange traders during trading hours. We address the welfare implications of this change in market structure. We model a market similar to the auction that the exchange uses to open the trading day. We consider two different environments.
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LOBSTER: Limit Order Book Reconstruction System
SSRN Electronic Journal, 2011The rise of order-driven markets in recent years created considerable challenges for researchers, who have to cope with extremely large amounts of data produced daily by the markets. It is our goal to spare academic researchers the tedious task of technical pre-processing of the data and thus enable them to focus on economic research.
Ruihong Huang, Tomas Polak
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