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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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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
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Identifying expensive trades by monitoring the limit order book
Detollenaere, Benoit; D'Hondt, Catherine - In: Journal of forecasting 36 (2017) 3, pp. 273-290
Persistent link: https://www.econbiz.de/10011729258
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Rule-based trading on an order-driven exchange : a reassessment
Isaac, Alan Glen; Ramaswamy, Vasudeva - In: Quantitative finance 23 (2023) 12, pp. 1871-1886
Persistent link: https://www.econbiz.de/10014452482
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Learning multi-market microstructure from order book data
Ju, Geonhwan; Kim, Kyoung-Kuk; Lim, Dong-Young - In: Quantitative finance 19 (2019) 9, pp. 1517-1529
Persistent link: https://www.econbiz.de/10012194803
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Price dynamics and market liquidity : an intraday event study on Euronext
Mazza, Paolo - In: The quarterly review of economics and finance : journal … 56 (2015), pp. 139-153
Persistent link: https://www.econbiz.de/10011574367
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Inferring trade directions in fast markets
Jurkatis, Simon Willi - In: Journal of financial markets 58 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013254020
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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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Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013
-capitalization stocks traded on the Euronext-Paris Bourse. We find that, at tick frequency, the overnight return, the intraday jumps, and …
Persistent link: https://www.econbiz.de/10010256970