Results 21 to 30 of about 21,860,417 (300)
Modelling Trades-Through in a Limit Order Book Using Hawkes Processes
Economics: Journal Articles, 2012 Ioane Muni Toke, Fabrizio Pomponio
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Order Book Dynamics with Liquidity Fluctuations: Asymptotic Analysis of Highly Competitive Regime
Mathematics, 2023 We introduce a class of Markov models to describe the bid–ask price dynamics in the presence of liquidity fluctuations. In a highly competitive regime, the spread evolution belongs to a class of Markov processes known as a population process with uniform
Helder Rojas +2 more
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Limit Order Book as a Market for Liquidity [PDF]
Review of Financial Studies, 2001 We devel op a dynamic modelof anorder-drivenmarket populated bydiscretionary liquidity traders. These tradersmust trade, yet canchoose the type oforder and are fully strategic in their decision. Traders differ by their impatience: less patient traders are likely to demand liquidity, more patient traders are more likely to provide it.
Thierry Foucault +2 more
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Analyses of Daily Market Impact Using Execution and Order Book Information
Frontiers in Physics, 2020 We analyzed the Tokyo Stock Exchange (TSE) for a 29-month period from August 2014 to December 2016, including every transaction and order book snapshot, and confirmed through a simple statistical test that the market impact depends on each stock.
Kenta Yamada +2 more
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Trade informativeness and liquidity in Bitcoin markets.
PLoS ONE, 2021 Liquid markets are driven by information asymmetries and the injection of new information in trades into market prices. Where market matching uses an electronic limit order book (LOB), limit orders traders may make suboptimal price and trade decisions ...
J Christopher Westland
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Entropy, 2022 Traders who instantly react to changes in the financial market and place orders in milliseconds are called high-frequency traders (HFTs). HFTs have recently become more prevalent and attracting attention in the study of market microstructures.
Hiroki Watari +2 more
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Entropy, 2023 This study bridges finance and physics by applying thermodynamic concepts to model the limit order book (LOB) with high-frequency trading data on the Bitcoin spot.
Haochen Li +3 more
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LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY [PDF]
Mathematical Finance, 2012 We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in which the goal is to maximize the expected revenue from liquidating the entire position held.
Bayraktar, Erhan, Ludkovski, Michael
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Price Jump Prediction in Limit Order Book [PDF]
SSRN Electronic Journal, 2012 A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that liquidity balance on best bid/best ask is quite informative for predicting the future market order's direction ...
Ban Zheng +2 more
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A Law of Large Numbers for Limit Order Books [PDF]
Mathematics of Operations Research, 2017 We define a stochastic model of a two-sided limit order book in terms of its key quantities best bid [ask] price and the standing buy [sell] volume density. For a simple scaling of the discreteness parameters, that keeps the expected volume rate over the considered price interval invariant, we prove a limit theorem.
Ulrich Horst, Michael Paulsen
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