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Liquidity in high resolution in limit order markets
Pani, Sudhanshu - In: International Journal of Financial Markets and … 8 (2021) 1, pp. 23-49
Persistent link: https://www.econbiz.de/10012510329
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Queue imbalance as a one-tick-ahead price predictor in a limit order book
Gould, Martin; Bonart, Julius - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10011588243
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The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
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Toward a fully continuous exchange
Kyle, Albert S.; Lee, Jeongmin - In: Oxford review of economic policy 33 (2017) 4, pp. 650-675
Persistent link: https://www.econbiz.de/10011952562
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Informed trading, order flow shocks and the cross section of expected returns in Borsa Istanbul
Tiniç, Murat; Altay-Salih, Aslihan - In: Applied economics 52 (2020) 13, pp. 1446-1459
Persistent link: https://www.econbiz.de/10012197543
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Inferring trade directions in fast markets
Jurkatis, Simon Willi - 2020
Persistent link: https://www.econbiz.de/10012597973
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Equity trading
Fohlin, Caroline - In: Research handbook of financial markets, (pp. 358-377). 2023
Persistent link: https://www.econbiz.de/10014331077
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Deep order flow imbalance : extracting alpha at multiple horizons from the limit order book
Kolm, Petter N.; Turiel, Jeremy; Westray, Nicholas - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1044-1081
Persistent link: https://www.econbiz.de/10014370626
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Limit order book transparency and order aggressiveness at the closing call : lessons from the TWSE 2012 new information disclosure mechanism
Tseng, Yi-Heng; Chen, Shu-Heng - In: Pacific-Basin finance journal 35 (2015) 1, pp. 241-272
Persistent link: https://www.econbiz.de/10011538265
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High-resilience limits of block-shaped order books
Kallsen, Jan; Muhle-Karbe, Johannes - 2014
We show that wealth processes in the block-shaped order book model of Obizhaeva/Wang converge to their counterparts in the reduced-form model proposed by Almgren/Chriss, as the resilience of the order book tends to infinity. As an application of this limit theorem, we explain how to reduce...
Persistent link: https://www.econbiz.de/10011293740