Results 141 to 150 of about 25,477 (162)

Models of the limit order book

2009
The models presented in the previous chapters describe the price formation process in markets with different structures. As we saw in Figure 1.2, among the markets with trade pricing rules, those governed by an order-driven execution system can be organized either as a continuous or as a call auction, while markets with a quote-driven system can be ...
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Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models

Applied Mathematical Finance, 2020
Ben Hambly
exaly  

Optimal order placement in limit order book markets

2016
Aufgrund vorherrschender Prioritätsregeln betreffend Zeitpunkt und Preis in Limit-Order-Book-Märkten hat eine zum Zeitpunkt t0 und zum Preis p platzierte Buy-Limit-Order der Größe n ein gewisses Volumen an Aktien vor sich. Diese Aktien werden bevorzugt gehandelt, da sie entweder einen besseren Preis aufweisen oder bei gleichem Preis früher platziert ...
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Order Execution and Limit Order Book

2015
Ali N. Akansu, Mustafa U. TorunTorun
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Multivariate General Compound Hawkes Processes and their Applications in Limit Order Books

Wilmott Magazine, 2020
Anatoliy Swishchuk
exaly  

High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration

Quantitative Finance, 2018
Frédéric Abergel
exaly  

LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY

Mathematical Finance, 2014
Erhan Bayraktar, Michael Ludkovski
exaly  

Optimal Trading with Limit Orders on a Dynamic Limit Order Book

SSRN Electronic Journal, 2014
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Quasi-centralized limit order books

Quantitative Finance, 2017
Mason A Porter
exaly  

Distilling liquidity costs from limit order books

Journal of Banking and Finance, 2018
Jean-Yves Filbien, Alexandre F Roch
exaly