Results 31 to 40 of about 44,591 (304)
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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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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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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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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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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Modelling of Limit Order Book Data with Ordered Fuzzy Numbers
Applied Soft Computing, 2023 This paper presents a novel approach to representing the Limit Order Book data at a given timestamp using the Ordered Fuzzy Numbers concept. The limit order book contains all buy and sell orders placed by investors, updated in real-time, for the most liquid securities, even several hundred times a minute.
Adam Marszalek, Tadeusz Burczynski
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Trading strategies of institutional investors in a limit order book market
MATEC Web of Conferences, 2016 The study aims to examine the trading strategies of institutional investors in limit order book market. The study modifies assumptions of prior studies [1,2] to match actual situations or facilitate calculations.
chen Naiwei, Peng Mingxu
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A Scaling Limit for Limit Order Books Driven by Hawkes Processes [PDF]
SIAM Journal on Financial Mathematics, 2019 In this paper we derive a scaling limit for an infinite dimensional limit order book model driven by Hawkes random measures. The dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator. With our choice of scaling the dynamics converges to a coupled SDE-ODE system where limiting best bid and ...
Ulrich Horst, Wei Xu
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Optimal inventory management and order book modeling * [PDF]
ESAIM: Proceedings and Surveys, 2019 We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB).
Baradel Nicolas +3 more
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Economies, 2021 The purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond markets and to assess the driving factors behind the magnitude of the spill-overs between different markets.
Linas Jurksas +2 more
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