Results 251 to 260 of about 1,356,140 (282)

Resiliency of the limit order book

Journal of Economic Dynamics and Control, 2015
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Lo, Danny K., Hall, Anthony D.
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Comparison of Limit Order Book Models

2021
In recent years, almost all major exchanges in the world have switched to electronic orderbooks. These automatically store incoming limit orders and execute them against the best possible price. Due to this change, the models of order books have also changed. This thesis deals with the analysis and description of different order book models.
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Limits of Limit-Order Books

2022
Christopher Almost, John Lehoczky, Steven Shreve, Xiaofeng Yu   +3 more
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Optimal order placement in limit order book markets

2016
Aufgrund 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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Models of the limit order book

2009
The 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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Is the Electronic Open Limit Order Book Inevitable?

Journal of Finance, 1994
Lawrence R Glosten
exaly   +2 more sources

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

Journal of Finance, 1995
Bruno Biais, Chester Spatt
exaly   +2 more sources

Order Execution and Limit Order Book

2015
Ali N. Akansu, Mustafa U. TorunTorun
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Time-varying Limit Order Book Networks

2018
This paper analyzes the market impact of limit order books (LOB) taking crossstock effects into account. Based on penalized vector autoregressive approach, we aim to identify significance and magnitude of the directed network channels within and between LOBs by bootstrapped impulse response functions. Moreover, information on asymmetries and imbalances
Härdle, Wolfgang Karl, Chen, Shi, Liang, Chong, Schienle, Melanie   +3 more
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Limit Order Books

2018
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