Works matching DE "LIMIT order book"

Results: 56

A Stochastic Model for Order Book Dynamics: An Application to Korean Stock Index Futures.

Published in:

Management Science & Financial Engineering, 2013, v. 19, n. 1, p. 37, doi. 10.7737/MSFE.2013.19.1.037

By:

Yongiae Lee;
Woo Chang Kim

Publication type:

Article

The dampening effect of iceberg orders on small traders' welfare.

Published in:

Annals of Finance, 2017, v. 13, n. 4, p. 453, doi. 10.1007/s10436-017-0304-1

By:

Delaney, Laura;
Kovaleva, Polina

Publication type:

Article

Signing trades and an evaluation of the Lee-Ready algorithm.

Published in:

Annals of Finance, 2012, v. 8, n. 1, p. 1, doi. 10.1007/s10436-011-0184-8

By:

Blais, Marcel;
Protter, Philip

Publication type:

Article

In This Issue.

Published in:: Operations Research, 2010, v. 58, n. 3, p. 767, doi. 10.1287/opre.1100.0840
Publication type:: Article

A Stochastic Model for Order Book Dynamics.

Published in:

Operations Research, 2010, v. 58, n. 3, p. 549, doi. 10.1287/opre.1090.0780

By:

Cont, Rama;
Stoikov, Sasha;
Talreja, Rishi

Publication type:

Article

Exploring Price Fluctuations in a Double Auction Market.

Published in:

Computational Economics, 2016, v. 48, n. 2, p. 189, doi. 10.1007/s10614-015-9520-9

By:

Ji, Mingjie;
Li, Honggang

Publication type:

Article

Modelling the shape of the limit order book.

Published in:

Quantitative Finance, 2018, v. 18, n. 9, p. 1575, doi. 10.1080/14697688.2018.1433312

By:

Platania, Federico;
Serrano, Pedro;
Tapia, Mikel

Publication type:

Article

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

Published in:

Quantitative Finance, 2018, v. 18, n. 2, p. 249, doi. 10.1080/14697688.2017.1403142

By:

Lu, Xiaofei;
Abergel, Frédéric

Publication type:

Article

Latency and liquidity provision in a limit order book.

Published in:

Quantitative Finance, 2017, v. 17, n. 10, p. 1601, doi. 10.1080/14697688.2017.1296177

By:

Bonart, Julius;
Gould, Martin D.

Publication type:

Article

Quasi-centralized limit order books.

Published in:

Quantitative Finance, 2017, v. 17, n. 6, p. 831, doi. 10.1080/14697688.2016.1247980

By:

Gould, Martin D.;
Porter, Mason A.;
Howison, Sam D.

Publication type:

Article

Low-latency liquidity inefficiency strategies.

Published in:

Quantitative Finance, 2017, v. 17, n. 5, p. 717, doi. 10.1080/14697688.2016.1242765

By:

Oesch, Christian;
Maringer, Dietmar

Publication type:

Article

Modelling intensities of order flows in a limit order book.

Published in:

Quantitative Finance, 2017, v. 17, n. 5, p. 683, doi. 10.1080/14697688.2016.1236210

By:

Muni Toke, Ioane;
Yoshida, Nakahiro

Publication type:

Article

An analysis of price impact functions of individual trades on the London stock exchange.

Published in:

Quantitative Finance, 2015, v. 15, n. 10, p. 1727, doi. 10.1080/14697688.2015.1071077

By:

Wilinski, M.;
Cui, Wei;
Brabazon, A.;
Hamill, P.

Publication type:

Article

Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data.

Published in:

Quantitative Finance, 2015, v. 15, n. 10, p. 1737, doi. 10.1080/14697688.2015.1071075

By:

Panayi, Efstathios;
Peters, Gareth W.;
Kosmidis, Ioannis

Publication type:

Article

Rebuilding the limit order book: sequential Bayesian inference on hidden states.

Published in:

Quantitative Finance, 2013, v. 13, n. 11, p. 1779, doi. 10.1080/14697688.2013.851402

By:

Christensen, Hugh L.;
Turner, Richard E.;
Hill, Simon I.;
Godsill, Simon J.

Publication type:

Article

Limit order books.

Published in:

Quantitative Finance, 2013, v. 13, n. 11, p. 1709, doi. 10.1080/14697688.2013.803148

By:

Gould, Martin D.;
Porter, Mason A.;
Williams, Stacy;
McDonald, Mark;
Fenn, Daniel J.;
Howison, Sam D.

Publication type:

Article

Optimal high-frequency trading with limit and market orders.

Published in:

Quantitative Finance, 2013, v. 13, n. 1, p. 79, doi. 10.1080/14697688.2012.708779

By:

Guilbaud, Fabien;
Pham, Huyên

Publication type:

Article

Does Trading Anonymously Enhance Liquidity?

Published in:

Journal of Financial & Quantitative Analysis, 2020, v. 55, n. 7, p. 2372, doi. 10.1017/S0022109019000747

By:

Dennis, Patrick J.;
Sandås, Patrik

Publication type:

Article

High-Frequency Quoting: Short-Term Volatility in Bids and Offers.

Published in:

Journal of Financial & Quantitative Analysis, 2018, v. 53, n. 2, p. 613, doi. 10.1017/S0022109017001053

By:

Hasbrouck, Joel

Publication type:

Article

Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach.

Published in:

European Financial Management, 2015, v. 21, n. 1, p. 52, doi. 10.1111/j.1468-036X.2013.12006.x

By:

Gomber, Peter;
Schweickert, Uwe;
Theissen, Erik

Publication type:

Article

Dynamic stability of the Nash equilibrium for a bidding game.

Published in:

Analysis & Applications, 2016, v. 14, n. 4, p. 591, doi. 10.1142/S0219530515500098

By:

Bressan, Alberto;
Wei, Hongxu

Publication type:

Article

Does Greater Market Transparency Reduce Information Asymmetry?

Published in:

Emerging Markets Finance & Trade, 2016, v. 52, n. 11, p. 2565, doi. 10.1080/1540496X.2015.1087786

By:

Lin, Yaling

Publication type:

Article

Informativeness and Influence of Limit Order Books on Order Submissions in Electronic Continuous Auction Markets.

Published in:

Emerging Markets Finance & Trade, 2013, v. 49, p. 70, doi. 10.2753/REE1540-496X4904S306

By:

Chang, Matthew C.;
Wu, Rebecca Chung-Fern

Publication type:

Article

Search Costs and Investor Trading Activity: Evidence from Limit Order Books.

Published in:

Emerging Markets Finance & Trade, 2012, v. 48, n. 3, p. 4, doi. 10.2753/REE1540-496X480301

By:

Lin, William T.;
Tsai, Shih-Chuan;
Sun, David S.

Publication type:

Article

Optimal execution strategies in limit order books with general shape functions.

Published in:

Quantitative Finance, 2010, v. 10, n. 2, p. 143, doi. 10.1080/14697680802595700

By:

Alfonsi, Aurélien;
Fruth, Antje;
Schied, Alexander

Publication type:

Article

What pieces of limit order book information matter in explaining order choice by patient and impatient traders?

Published in:

Quantitative Finance, 2009, v. 9, n. 5, p. 527, doi. 10.1080/14697680802616704

By:

Pascual, Roberto;
Veredas, David

Publication type:

Article

Diffusive behavior and the modeling of characteristic times in limit order executions.

Published in:

Quantitative Finance, 2009, v. 9, n. 5, p. 547, doi. 10.1080/14697680802512408

By:

Eisler, Zoltán;
Kertész, János;
Lillo, Fabrizio;
Mantegna, Rosario N.

Publication type:

Article

Does Information Content Necessarily Increase with Greater Pre-Trade Transparency?

Published in:

Review of Pacific Basin Financial Markets & Policies, 2008, v. 11, n. 4, p. 531, doi. 10.1142/S0219091508001465

By:

Yaling Lin;
Tai Ma;
Hsiu-Kuei Chen

Publication type:

Article

Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market.

Published in:

ODEON - Observatorio de Economía y Operaciones Numéricas, 2012, n. 7, p. 45

By:

Sandoval, Javier

Publication type:

Article

Una visión menos economicista de la obra de Léon Walras (1834-1910).

Published in:

ODEON - Observatorio de Economía y Operaciones Numéricas, 2012, n. 7, p. 7

By:

Camacho Carvajal, Luis Felipe

Publication type:

Article

Modeling High-Frequency Non-Homogeneous Order Flows by Compound Cox Processes*.

Published in:

Journal of Mathematical Sciences, 2016, v. 214, n. 1, p. 44, doi. 10.1007/s10958-016-2757-6

By:

Chertok, A.;
Korolev, V.;
Korchagin, A.

Publication type:

Article

Estimating the Gains from Trade in Limit-Order Markets.

Published in:

Journal of Finance (Wiley-Blackwell), 2006, v. 61, n. 6, p. 2753, doi. 10.1111/j.1540-6261.2006.01004.x

By:

HOLLIFIELD, BURTON;
MILLER, ROBERT A.;
SANDÅS, PATRIK;
SLIVE, JOSHUA

Publication type:

Article

Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong.

Published in:

Journal of Finance (Wiley-Blackwell), 2001, v. 56, n. 2, p. 767, doi. 10.1111/0022-1082.00345

By:

Hee-Joon Ahn;
Kee-Hong Bae;
Kalok Chan

Publication type:

Article

Consistency between Predicted and Actual Bid-Ask Quote Revisons.

Published in:

Journal of Finance (Wiley-Blackwell), 1991, v. 46, n. 1, p. 433, doi. 10.1111/j.1540-6261.1991.tb03760.x

By:

Hasung Jang;
Venkatesh, P.C.

Publication type:

Article

Testing the effect of technical analysis on market quality and order book dynamics.

Published in:

Applied Economics, 2019, v. 51, n. 18, p. 1947, doi. 10.1080/00036846.2018.1529404

By:

Mazza, Paolo;
Petitjean, Mikael

Publication type:

Article

Price Dynamics in an Order-Driven Market with Bayesian Learning.

Published in:

Complexity, 2018, p. 1, doi. 10.1155/2018/8254068

By:

Wang, Jiahua;
Zhu, Hongliang;
Li, Dongxin

Publication type:

Article

A Law of Large Numbers for Limit Order Books.

Published in:

Mathematics of Operations Research, 2017, v. 42, n. 4, p. 1280, doi. 10.1287/moor.2017.0848

By:

Horst, Ulrich;
Paulsen, Michael

Publication type:

Article

DYNAMIC ORDER SUBMISSION AND HERDING BEHAVIOR IN ELECTRONIC TRADING.

Published in:

Journal of Financial Research, 2010, v. 33, n. 1, p. 27, doi. 10.1111/j.1475-6803.2009.01261.x

By:

Ng, Wing Lon

Publication type:

Article

Informed Trading, Flow Toxicity and the Impact on Intraday Trading Factors.

Published in:

Australasian Accounting Business & Finance Journal, 2013, v. 7, n. 2, p. 3, doi. 10.14453/aabfj.v7i2.2

By:

Wang Chun Wei;
Gerace, Dionigi;
Frino, Alex

Publication type:

Article

An Analysis of the Magnet Effect under Price Limits.

Published in:

International Review of Finance, 2009, v. 9, n. 1/2, p. 83, doi. 10.1111/j.1468-2443.2009.01086.x

By:

DAPHNE YAN DU;
QIANQIU LIU;
RHEE, S. GHON

Publication type:

Article

DYNAMIC EQUILIBRIUM LIMIT ORDER BOOK MODEL AND OPTIMAL EXECUTION PROBLEM.

Published in:

Mathematical Control & Related Fields, 2015, v. 5, n. 3, p. 557, doi. 10.3934/mcrf.2015.5.557

By:

JIN MA;
XINYANG WANG;
JIANFENG ZHANG

Publication type:

Article

Enhancing trading strategies with order book signals.

Published in:

Applied Mathematical Finance, 2018, v. 25, n. 1, p. 1, doi. 10.1080/1350486X.2018.1434009

By:

Cartea, Álvaro;
Donnelly, Ryan;
Jaimungal, Sebastian

Publication type:

Article

Optimal Execution and Price Manipulations in Time-varying Limit Order Books.

Published in:

Applied Mathematical Finance, 2014, v. 21, n. 3, p. 201, doi. 10.1080/1350486X.2013.845471

By:

Alfonsi, Aurélien;
Acevedo, José Infante

Publication type:

Article

The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books.

Published in:

Applied Mathematical Finance, 2011, v. 18, n. 3, p. 189, doi. 10.1080/1350486X.2010.504333

By:

Challet, Damien

Publication type:

Article

COUPLING LIMIT ORDER BOOKS AND BRANCHING RANDOM WALKS.

Published in:

Journal of Applied Probability, 2014, v. 51, n. 3, p. 625, doi. 10.1239/jap/1409932663

By:

SIMATOS, FLORIAN

Publication type:

Article

High-Frequency Trading, Liquidity Withdrawal, and the Breakdown of Conventions in Foreign Exchange Markets.

Published in:

Journal of Economic Issues, 2018, v. 52, n. 2, p. 387, doi. 10.1080/00213624.2018.1469883

By:

Alexis, Stenfors;
Masayuki, Susai

Publication type:

Article

MARKET IMPACT AND ORDER BOOK CHARACTERISTICS IN THE KOREAN FUTURES MARKET.

Published in:

International Journal of Modern Physics C: Computational Physics & Physical Computation, 2011, v. 22, n. 11, p. 1269, doi. 10.1142/S0129183111016889

By:

LEE, JUNGHOON;
YOUN, JANGHYUK;
CHANG, WOOJIN

Publication type:

Article

Hidden Liquidity: Order Exposure Strategies Around Earnings Announcements.

Published in:

Journal of Business Finance & Accounting, 2008, v. 35, n. 9/10, p. 1220, doi. 10.1111/j.1468-5957.2008.02111.x

By:

Chakrabarty, Bidisha;
Shaw, Kenneth W.

Publication type:

Article

Second order approximations for limit order books.

Published in:

Finance & Stochastics, 2018, v. 22, n. 4, p. 827, doi. 10.1007/s00780-018-0373-7

By:

Horst, Ulrich;
Kreher, Dörte

Publication type:

Article

Corporate Bond Trading on a Limit Order Book Exchange.

Published in:

Review of Finance, 2018, v. 22, n. 4, p. 1413, doi. 10.1093/rof/rfx054

By:

Abudy, Menachem (Meni);
Wohl, Avi

Publication type:

Article