Similar Search Results

Multiscale analysis of foreign exchange order flows and technical trading profitability

Gradojevic, Nikola; Lento, Camillo - In: Economic modelling 47 (2015), pp. 156-165

Persistent link: https://www.econbiz.de/10011439041

Reflecting on the VPIN dispute

Andersen, Torben; Bondarenko, Oleg - In: Journal of financial markets 17 (2014), pp. 53-64

Persistent link: https://www.econbiz.de/10010436245

VPIN and the flash crash

Andersen, Torben; Bondarenko, Oleg; O'Hara, Maureen - In: Journal of financial markets 17 (2014), pp. 1-46

Persistent link: https://www.econbiz.de/10010436257

Reducing transaction costs using intraday forecasts of limit order book slopes

Ahabchane, Chahid; Cenesizoglu, Tolga; Grass, Gunnar; … - 2021

Persistent link: https://www.econbiz.de/10012615644

The Predictive Power of Limit Order Book for Future Volatility, Trade Price, and Speed of Trading

Jain, Pankaj K. - 2011

order book slope, consistently and significantly predict future price volatility, trade prices, and speed of trading. The … trade size is the driving force in the standard volume-volatility relationship …

Persistent link: https://www.econbiz.de/10013128376

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