Results 21 to 30 of about 1,356,140 (282)
An empirical behavioral order-driven model with price limit rules
Financial Innovation, 2021 We propose an empirical behavioral order-driven (EBOD) model with price limit rules, which consists of an order placement process and an order cancellation process.
Gao-Feng Gu +6 more
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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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Second order approximations for limit order books [PDF]
Finance and Stochastics, 2018 In 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, Dörte
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Econometrics, 2023 Time-series data, which exhibit a low signal-to-noise ratio, non-stationarity, and non-linearity, are commonly seen in high-frequency stock trading, where the objective is to increase the likelihood of profit by taking advantage of tiny discrepancies in ...
Chengyu Li, Luyi Shen, Guoqi Qian
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Algorithmic trading in a microstructural limit order book model [PDF]
, 2019 We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). In this context, the limit orders, market orders, and cancel orders arrivals in the LOB are modeled as Cox ...
Abergel, Frédéric +2 more
core +2 more sources
The Impact of Iceberg Orders in Limit Order Books [PDF]
SSRN Electronic Journal, 2009 We examine the impact of iceberg orders on the price and order flow dynamics in limit order books. Iceberg orders allow traders to simultaneously hide a large portion of their order size and signal their interest in trading to the market. We show that when market participants detect iceberg orders they tend to strongly respond by submitting matching ...
Frey, Stefan, Sandås, Patrik
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Mutual Information between Order Book Layers
Entropy, 2022 The order book is a list of all current buy or sell orders for a given financial security. The rise of electronic stock exchanges introduced a debate about the relevance of the information it encapsulates of the activity of traders.
Daniel Libman +3 more
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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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Machine Learning for Forecasting Mid-Price Movements Using Limit Order Book Data
IEEE Access, 2019 Forecasting the movements of stock prices is one of the most challenging problems in financial markets analysis. In this paper, we use machine learning (ML) algorithms for the prediction of future price movements using limit order book data.
Paraskevi Nousi +7 more
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