Results 11 to 20 of about 25,477 (162)
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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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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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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A study ofthe illustrations Pre-schoolchildren’s illustrated boos in Iran [PDF]
پیکره, 2013 Iranian contemporary illustrations originate from the experiences of previous Iranian illustrators who were influenced by the European style and synthesized it with folk, ethnic ,and traditional characteristics .In spite of all the efforts made in recent ...
Reza Alipour +2 more
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Market Making Strategy Optimization via Deep Reinforcement Learning
IEEE Access, 2022 Optimization of market making strategy is a vital issue for participants in security markets. Traditional strategies are mostly designed manually, and orders are mechanically issued according to rules based on predefined market conditions.
Tianyuan Sun, Dechun Huang, Jie Yu
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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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Quasi-Centralized Limit Order Books [PDF]
SSRN Electronic Journal, 2015 43 pages, 18 ...
Martin D. Gould +2 more
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Mohammad Baqer Behbudī and the Defects of Hadith (‘ilal) and the Ways of Recognizing it [PDF]
تحقیقات علوم قرآن و حدیث, 2015 Mohammad Bagher Behbudi is one of the contemporary scholars in the field of tradition with new ideas on criticizing hadith. In his evaluation of hadith, he does not limit himself to superficial investigations of isnad but further, he considers ...
mahdi ezadi, bahareh mazaheri
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