Results 71 to 80 of about 21,860,417 (300)
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
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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
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Advanced Intelligent Systems, EarlyView.A schema‐first alignment framework builds compact, executable domain‐specific language models under data scarcity. Large‐scale synthetic question‐answer generation instills domain knowledge, and a code‐centric IR‐to‐DPO pipeline aligns generation with tool‐executable syntax.
Di Wang +4 more
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Analysis of Limit Order Book and Order Flow
SSRN Electronic Journal, 2003 This paper extensively employs the order and trade data to analyze the shape of limit order book and the behavior of strategic order submission. The order book of stocks exhibits weakly convex pattern on the bid side due to wide price spreads away from the market. This characteristic of liquidity is particularly strong for the small stocks with large
Charlie Charoenwong +2 more
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The rain feels different under the same umbrella: Experiences with poverty across LGBTQ subgroups
American Journal of Community Psychology, EarlyView.Abstract Population‐based survey data have demonstrated that LGBTQ communities report varying rates of economic insecurity, yet very little research directly assesses how pathways into and experiences with poverty look different among subgroups at the intersections of sexual orientation and gender identity (SOGI).
Bianca D. M. Wilson, Lillian Nguyen
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Price Dynamics in an Order-Driven Market with Bayesian Learning
Complexity, 2018 In this paper, we have developed a model of limit order book with learning mechanism and investigated its price dynamics. In this model, continuous Bayesian learning is introduced to describe the dynamics of self-adjusting learning mechanism of agents ...
Jiahua Wang, Hongliang Zhu, Dongxin Li
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Limit theorems for limit order books
, 2014 In the first part of the thesis, we define a random state-dependent discrete 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 that introduces a slow time scaling, that is equivalent to the classical law of large numbers, for the bid/ask prices and ...
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A functional limit theorem for limit order books
, 2014 We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). For the joint dynamics of best bid and ask prices and the standing buy and sell volume densities, we derive a functional limit theorem, which states that our LOB model converges to a continuous-time limit when the order arrival rates tend to infinity, the impact of
Bayer, Christian +2 more
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American Journal of Community Psychology, EarlyView.Abstract This paper utilizes the concept of “colonial master narratives” to examine how racial propaganda is mobilized in the Australian imaginary to “flatten” the stories of Blac/k people and how African Australians deploy counternarratives to reject these racialized projections.
Kathomi Gatwiri, Samara Kim
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High price impact trade identification and its implication for volatility and price efficiency
Risk SciencesWe include limit order book (LOB) matchedness as a new trade attribute to identify high price impact trades (HPITs). HPITs are trades associated with large price changes relative to their volume proportion.
Georges Dionne, Xiaozhou Zhou
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