Results 31 to 40 of about 1,356,140 (282)
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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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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Deep learning for limit order books [PDF]
Quantitative Finance, 2018 This paper develops a new neural network architecture for modeling spatial distributions (i.e., distributions on R^d) which is computationally efficient and specifically designed to take advantage of the spatial structure of limit order books. The new architecture yields a low-dimensional model of price movements deep into the limit order book ...
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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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Compound Hawkes processes in limit order books [PDF]
, 2019 24 pages, 16 figures.
Swishchuk, Anatoliy +3 more
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Multi-Level Order-Flow Imbalance in a Limit Order Book [PDF]
Market Microstructure and Liquidity, 2018 We study the multi-level order-flow imbalance (MLOFI), which is a vector quantity that measures the net flow of buy and sell orders at different price levels in a limit order book (LOB). Using a recent, high-quality data set for six liquid stocks on Nasdaq, we fit a simple, linear relationship between MLOFI and the contemporaneous change in mid-price.
Xu, K, Gould, MD, Howison, SD
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Reinforcement Learning Approaches to Optimal Market Making
Mathematics, 2021 Market making is the process whereby a market participant, called a market maker, simultaneously and repeatedly posts limit orders on both sides of the limit order book of a security in order to both provide liquidity and generate profit.
Bruno Gašperov +3 more
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مجلة كلية التربية للبنات, 2021 This research discusses the verbal follow phenomenon in Al-Amali Abi Al-Qali’s book (seq.356 Hijri). It aims to limit the examples of this phenomenon in the book, and examine it phonologically.
Hind Fadhil Abbas
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Designating market maker behaviour in Limit Order Book markets
, 2015 Financial exchanges provide incentives for limit order book (LOB) liquidity provision to certain market participants, termed designated market makers or designated sponsors.
Danielsson, Jon +3 more
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