Results 131 to 140 of about 25,477 (162)
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2016
A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer.
Abergel, Frédéric +4 more
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A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer.
Abergel, Frédéric +4 more
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Order aggressiveness in limit order book markets
Journal of Financial Markets, 2004I examine the information content of a limit order book in a purely order-driven market. I analyze how the state of the limit order book affects a trader's strategy. I develop an econometric technique to study order aggressiveness and provide empirical evidence on the recent theoretical models on limit order book markets.
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Resiliency of the limit order book
Journal of Economic Dynamics and Control, 2015zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lo, Danny K., Hall, Anthony D.
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Mid-Price Prediction in a Limit Order Book
IEEE Journal of Selected Topics in Signal Processing, 2014We propose several nonparametric predictors of the mid-price in a limit order book, based on different features constructed from the order book data observed contemporaneously. contemporaneously and in the recent past. We evaluate our predictors in the context of an order execution task by constructing order execution strategies that incorporate these ...
Deepan Palguna, Ilya Pollak
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2013
Abstract This chapter discusses limit order book (LOB) markets. Section 6.2 analyzes a static model of the optimal bidding strategies for limit order traders and Section 6.3 applies the model to study various issues regarding the design of limit order markets: the impact of tick size, the role of priority rules, and the role of ...
Thierry Foucault +2 more
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Abstract This chapter discusses limit order book (LOB) markets. Section 6.2 analyzes a static model of the optimal bidding strategies for limit order traders and Section 6.3 applies the model to study various issues regarding the design of limit order markets: the impact of tick size, the role of priority rules, and the role of ...
Thierry Foucault +2 more
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Non-parametric prediction in a limit order book
2013 IEEE Global Conference on Signal and Information Processing, 2013Many securities markets are organized as double auctions where each incoming limit order-i.e., an order to buy or sell at a specific price-is stored in a data structure called the limit order book [1]. A trade happens whenever a marketable order arrives-i.e., an order to buy or sell at the best currently available price on the opposite side of the ...
Deepan Palguna, Ilya Pollak
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HLOB–Information persistence and structure in limit order books
Expert Systems With ApplicationsWe introduce a novel large-scale deep learning model for Limit Order Book mid-price changes forecasting, and we name it `HLOB'. This architecture (i) exploits the information encoded by an Information Filtering Network, namely the Triangulated Maximally Filtered Graph, to unveil deeper and non-trivial dependency structures among volume levels; and (ii)
Antonio Briola +2 more
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A Bidding Game in a Continuum Limit Order Book
SIAM Journal on Control and Optimization, 2013The paper is concerned with a continuum model of the limit order book, viewed as a noncooperative game for $n$ players. An external buyer asks for a random amount $X > 0$ of a given asset. This amount will be bought at the lowest available price, as long as the price does not exceed a given upper bound $\overline{P}$.
Alberto Bressan, Giancarlo Facchi
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ON MEASURING THE COST OF LIQUIDITY IN THE LIMIT ORDER BOOK
2020The work is devoted to the elaboration and demonstration of a method for measuring the cost of illiquidity in the delta hedging of futures-style options on the Moscow Exchange. Illiquidity is usually measured per unit of asset or money. However, given the specifics of futures, this article proposes to use the total volume of the initial margin and the ...
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