Results 31 to 40 of about 1,608,678 (297)
The Emergence of Critical Stocks in Market Crash
Frontiers in Physics, 2020 In complex systems like financial market, risk tolerance of individuals is crucial for system resilience. The single-security price limit, designed as risk tolerance to protect investors by avoiding sharp price fluctuation, is blamed for feeding market ...
Shan Lu +4 more
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More Reliable Land Price Index: Is There a Slope Effect?
Land, 2021 This paper focuses on the physical attributes of land that intrinsically limit land use and possibly affect land values. In particular, we investigate if the slope of a land does decrease its price and investigate the role of land slope in forming more ...
Yi Huang, Geoffrey Hewings
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General Compound Hawkes Processes in Limit Order Books
, 2017 In this paper, we study various new Hawkes processes, namely, so-called general compound and regime-switching general compound Hawkes processes to model the price processes in the limit order books.
Swishchuk, Anatoliy
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A Coordination Mechanism For Reducing Price Spikes in Distribution Grids
Energies, 2020 Recently, given the increased integration of renewables and growing uncertainty in demand, the wholesale market price has become highly volatile. Energy communities connected to the main electricity grid may be exposed to this increasing price volatility.
Shantanu Chakraborty +5 more
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Carry Forward Modeling for High-Frequency Limit-Order Executions: An Emerging Market Perspective
American Business Review, 2022 In this study, we estimate the order execution probability of a limit-order book (LOB) and analyze its determinants using high-frequency LOB data from the National Stock Exchange (NSE) of India.
Aritra Pan, Arun Kumar Misra
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A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics
, 2016 We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). Our model is flexible enough to allow for a dependence of the price dynamics on volumes.
Bayer, Christian +2 more
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A Signature Transform of Limit Order Book Data for Stock Price Prediction
IEEE Access, 2023 A novel approach is presented for predicting the mean-mid stock price by utilizing high-frequency and complex limit order book (LOB) data as inputs for machine learning algorithms.
Thendo Sidogi +4 more
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The RAND Journal of Economics, 2017 I study a multiperiod model of limit pricing under one‐sided incomplete information. I characterize pooling and separating equilibria and their existence and determine when these involve limit pricing. For some parameter constellations, the unique equilibrium surviving a D1 type refinement involves immediate separation on monopoly prices.
openaire +2 more sources
Predicting Stock Price Changes Based on the Limit Order Book: A Survey
Mathematics, 2022 This survey starts with a general overview of the strategies for stock price change predictions based on market data and in particular Limit Order Book (LOB) data.
Ilia Zaznov +3 more
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Tick Size Reduction and Price Clustering in a FX Order Book
, 2014 We investigate the statistical properties of the EBS order book for the EUR/USD and USD/JPY currency pairs and the impact of a ten-fold tick size reduction on its dynamics. A large fraction of limit orders are still placed right at or halfway between the
Abergel, Frédéric, Lallouache, Mehdi
core +3 more sources