Results 81 to 90 of about 1,356,140 (282)
Price fluctuations from the order book perspective - empirical facts and a simple model
, 2001 Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law tails with an
Biais +9 more
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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
openaire +2 more sources
Deep limit order book events dynamics [PDF]
SSRN Electronic Journal, 2020 This paper analyzes the limit order book events arrival dependency structure using high-dimensional Hawkes processes. We seek for recurrent relationships among events from a set of 86 event types which in addition to transactions, includes limit order submissions and cancellations taking place up to the 20th depth level of the order book.
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American Journal of Medical Genetics Part B: Neuropsychiatric Genetics, EarlyView.ABSTRACT In epidemiological studies, obsessive‐compulsive disorder (OCD) is robustly associated with increased risk of cardiometabolic disorders, including cardiovascular diseases, type 2 diabetes, and obesity. However, the mechanisms behind these associations are unclear. We conducted genetic correlation analyses to explore shared genetic etiology and
Robyn E. Wootton +217 more
wiley +1 more source
A Challenger to the Limit Order Book: The NYSE Specialist [PDF]
This paper gives a new answer to the challenging question raised by Glosten (1994): "Is the electronic order book inevitable?". While the order book enables traders to compete to supply anonymous liquidity, the specialist system enables one to reap the ...
Buti, Sabrina
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Australian Journal of Social Issues, EarlyView.ABSTRACT In 2019, the Australian government established the Royal Commission into Violence, Abuse, Neglect and Exploitation of People with Disability (‘Disability Royal Commission’, DRC) to investigate widespread mistreatment of people with disability. Nearly 10,000 people with disability, their families and supporters engaged with the DRC.
Kate D'Cruz +7 more
wiley +1 more source
Australian Journal of Social Issues, EarlyView.ABSTRACT In this paper, we trace the journey to create the Strong Roots for our Futures Program, a government program to resource and support Traditional Owners to undertake a range of activities in areas where no state recognition existed. We provide a background to state recognition in Victoria before considering the program design, leading to an ...
Nell Reidy +2 more
wiley +1 more source
Applied SciencesThis paper introduces a novel deep learning approach for intraday stock price direction prediction, motivated by the need for more accurate models to enable profitable algorithmic trading.
Ilia Zaznov +3 more
doaj +1 more source
On the Prospects for African Philosophy in Australia
Australian Journal of Social Issues, EarlyView.ABSTRACT This paper grapples with the situation of people of African descent in Australia by working through the constitution of the body of academic philosophy in the country. It contends with the parochialism of the Australian philosophical community and the prospects for the cultivation of greater pluralism. Taking African philosophy as one possible
Bryan Mukandi
wiley +1 more source
Conditional Distribution of the Limit Order Book Given the History of the Best Quote Process [PDF]
Recently, models of limit order markets, particularly those of the continuous double auction, are subject to an intense research. Due to their complexity, the models are regarded to be analytically intractable. In the present paper, nonetheless, a closed
Martin Smid
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