Results 61 to 70 of about 44,591 (304)
The market impact of a limit order [PDF]
, 2009 Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing.
Hautsch, Nikolaus +3 more
core +1 more source
Investor Sentiment in an Artificial Limit Order Market
Complexity, 2020 This paper examines the under/overreaction effect driven by sentiment belief in an artificial limit order market when agents are risk averse and arrive in the market with different time horizons.
Lijian Wei, Lei Shi
doaj +1 more source
An exciting Approach to Theoretical Spectroscopy
Advanced Science, EarlyView.ABSTRACT Theoretical spectroscopy, and more generally, electronic‐structure theory, are powerful concepts for describing the complex many‐body interactions in materials. They cover methods from ground‐state properties to lattice excitations and light‐matter interaction, including time‐resolved variants.
Martí Raya‐Moreno +29 more
wiley +1 more source
Modeling Stock Price Changes Based on Microstructural Market Data
Финансы: теория и практика, 2018 In modern electronic stock exchanges there is an opportunity to analyze event driven market microstructure data. This data is highly informative and describes physical price formation which makes it possible to find complex patterns in price dynamics. It
N. A. Bilev
doaj +1 more source
Discrete Dynamics in Nature and Society, 2020 In April 2017, China Financial Futures Exchange adjusted the maximum order volume of single trading in stock index futures, and this paper conducts research on this event.
Liang Wang +3 more
doaj +1 more source
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
openaire +3 more sources
Advanced Electronic Materials, EarlyView.This paper reviews the physics of liquid metals in RF devices, including the influence of mechanical strain on resonance as well as fabrication methods and strategies for designing tunable and strain‐tolerant inductors, capacitors, and antennas.
Md Saifur Rahman, William J. Scheideler
wiley +1 more source
AIChE Journal, EarlyView.Abstract In cryogenic CO2 desublimation systems where phase change dominates both heat transfer and separation, conventional lumped thermal‐resistance treatments embed interfacial latent heat into an overall heat‐transfer coefficient, obscuring how phase‐change heat is partitioned between the gas phase and the coolant and limiting diagnostic insight ...
Shengwen Xiao +2 more
wiley +1 more source
Compound Hawkes processes in limit order books [PDF]
, 2019 24 pages, 16 figures.
Swishchuk, Anatoliy +3 more
openaire +2 more sources
Online Learning in Limit Order Book Trade Execution [PDF]
IEEE Transactions on Signal Processing, 2017 In this paper, we propose an online learning algorithm for optimal execution in the limit order book of a financial asset. Given a certain number of shares to sell and an allocated time window to complete the transaction, the proposed algorithm dynamically learns the optimal number of shares to sell via market orders at prespecified time slots within ...
Nima Akbarzadeh +2 more
openaire +3 more sources