Results 261 to 270 of about 1,356,140 (282)

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  

The information content of the limit order book: evidence from NYSE specialist trading decisions

Journal of Financial Markets, 2005
Venkatesh Panchapagesan
exaly  

Using Deep Learning for price prediction by exploiting stationary limit order book features

Applied Soft Computing Journal, 2020
Avraam Tsantekidis, Nikolaos Passalis, Anastasios Tefas   +2 more
exaly  

Algorithmic trading in a microstructural limit order book model

Quantitative Finance, 2020
Frédéric Abergel, Côme Huré, Huyên Pham   +2 more
exaly  

LIMIT ORDER BOOKS: MODELS

2018
openaire   +1 more source

LIMIT ORDER BOOKS: INTRODUCTION

2018
openaire   +1 more source

Optimal Trading with Limit Orders on a Dynamic Limit Order Book

SSRN Electronic Journal, 2014
openaire   +1 more source

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  

Benchmark dataset for mid‐price forecasting of limit order book data with machine learning methods

Journal of Forecasting, 2018
Adamantios Ntakaris, Juho Kanniainen, Moncef Gabbouj   +2 more
exaly  

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

European Financial Management, 2015
Peter Gomber, Erik Theissen
exaly