Results 11 to 20 of about 11,815,776 (302)
Limit Order Books and Trade Informativeness [PDF]
SSRN Electronic Journal, 2006 In the microstructure literature, information asymmetry is an important determinant of market liquidity. The classic setting is that uninformed dedicated liquidity suppliers charge price concessions when incoming market orders are likely to be informationally motivated.
Beltran-Lopez, Hélena +2 more
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Is Best Really Better? Internalization of Orders in an Open Limit Order Book [PDF]
Schmalenbach Business Review, 2012 We study the market quality of the Xetra BEST system operated by Deutsche Borse AG, an internalization system designed as part of an open limit order book, which guarantees a price improvement over the inside spread in the Xetra order book. We develop a structural model of this dual market environment and show that adverse selection costs of ...
Grammig, Joachim, Theissen, Erik
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Hawkes model specification for limit order books [PDF]
, 2022 This paper discusses Hawkes modeling of order arrivals in limit order books. We model the flow of market orders, limit orders, and cancelations by a self- and crossexciting multitype marked Hawkes process with state-dependent baseline intensities.
Vetter, Sebastian, Kirchner, Matthias
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HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS [PDF]
Probability in the Engineering and Informational Sciences, 2016 In this paper, we establish a fluid limit for a two-sided Markov order book model. The main result states that in a certain asymptotic regime, a pair of measure-valued processes representing the “sell-side shape” and “buy-side shape” of an order book converges to a pair of deterministic measure-valued processes in a certain sense.
Xuefeng Gao, S. J. Deng
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Less is More: The Power Style in Raymond Carver's and Mary Robison's Selected Short Stories [PDF]
مجلة کلية الاداب جامعة حلوان, 2023 Raymond Carver's (1938-1988) collection of short stories secured his reputation as a major American writer of fiction. Since he appeared, he has been called the greatest short story writer since Hemingway, as well as the godfather of literary minimalism.
Sherine El Shoura
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Second order approximations for limit order books [PDF]
Finance and Stochastics, 2018 In this paper we derive a second order approximation for an infinite dimensional limit order book model, in which the dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator (e.g.~the volume standing at the top of the book).
Ulrich Horst, Dörte Kreher
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The Impact of Iceberg Orders in Limit Order Books [PDF]
SSRN Electronic Journal, 2009 We examine the impact of iceberg orders on the price and order flow dynamics in limit order books. Iceberg orders allow traders to simultaneously hide a large portion of their order size and signal their interest in trading to the market. We show that when market participants detect iceberg orders they tend to strongly respond by submitting matching ...
Frey, Stefan, Sandås, Patrik
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An Ontology for the In-Between of Motion: Aristotle’s Reaction to Zeno’s Arguments
Peitho, 2021 This paper proposes an interpretation of Books V and VI of Aristotle’s Physics as being (at least partly) a reaction to Zeno’s four “arguments against motion” that Aristotle expounds and discusses in Phys. VI 9.
Michel Crubellier
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Trade informativeness and liquidity in Bitcoin markets.
PLoS ONE, 2021 Liquid markets are driven by information asymmetries and the injection of new information in trades into market prices. Where market matching uses an electronic limit order book (LOB), limit orders traders may make suboptimal price and trade decisions ...
J Christopher Westland
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Crossed and Locked Quotes in a Multi-Market Simulation. [PDF]
PLoS ONE, 2016 Financial markets are often fragmented, introducing the possibility that quotes in identical securities may become crossed or locked. There are a number of theoretical explanations for the existence of crossed and locked quotes, including competition ...
Andrew Todd +2 more
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