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Industrial organization, order Internalization, and invariance
Bondarenko, Oleg; Obižaeva, Anna; Wang, Yajun - 2020
Persistent link: https://www.econbiz.de/10012494238
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General compound hawkes processes in limit order books
Sviščuk, Anatolij; Huffman, Aiden - In: Risks : open access journal 8 (2020) 1/28, pp. 1-25
to limit order books to study the link between price volatility and order flow, where the volatility in mid-price changes …
Persistent link: https://www.econbiz.de/10012203654
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Optimal liquidation, acquisition and market making problems in HFT under Hawkes models for LOB
Contreras, Ana Roldan; Sviščuk, Anatolij - In: Risks : open access journal 10 (2022) 8, pp. 1-32
The present paper is focused on the solution of optimal control problems such as optimal acquisition, optimal liquidation, and market making in relation to the high-frequency trading market. We have modeled optimal control problems with the price approximated by the diffusion process for the...
Persistent link: https://www.econbiz.de/10013368241
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Artificial long memory effects in two agent-based asset pricing models
Franke, Reiner - 2008
long memory completely disappears. -- Volatility clustering ; Autocorrelations of returns ; Fundamentalists and …
Persistent link: https://www.econbiz.de/10003738658
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When overconfident traders meet feedback traders
Boco, Hervé; Germain, Laurent; Rousseau, Fabrice - 2016
Persistent link: https://www.econbiz.de/10011553073
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Improved volatility estimation based on limit order books
Bibinger, Markus; Jirak, Moritz; Reiß, Markus - 2014
, which reveals an interesting connection to the theory of Brownian excursion areas. A major application is the estimation of … the integrated squared volatility of an effcient price process Xt from intra-day order book quotes. We derive n -1/3 as … optimal convergence rate of integrated squared volatility estimation in a high-frequency framework with n observations (in …
Persistent link: https://www.econbiz.de/10010412417
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Trading activity and liquidity supply in a pure limit order book market : an empirical analysis using a multivariate count data model
Grammig, Joachim; Heinen, Andréas; Rengifo, Erick W. - 2004
Persistent link: https://www.econbiz.de/10002390653
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Empirical models of the intraday process of price changes and liquidity : a transaction level approach
Gerhard, Frank (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001763098
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Price Jump Prediction in Limit Order Book
Zheng, Ban - 2012
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that liquidity balance on best bid/best ask is quite informative...
Persistent link: https://www.econbiz.de/10013108794
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Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596
Persistent link: https://www.econbiz.de/10013167782