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Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?
Cebiroglu, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - In: Market microstructure and liquidity 5 (2019) 1/4, pp. 1-52
Persistent link: https://www.econbiz.de/10012819933
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Limit order book (LOB) shape modeling in presence of heterogeneously informed market participants
Drame, Mouhamad - In: Market microstructure and liquidity 5 (2019) 1/4, pp. 1-35
Persistent link: https://www.econbiz.de/10012820075
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Informed Trading and the Price Impact of Block Trades : A High Frequency Trading Analysis
Sun, Yuxin - 2016
Using high frequency data from the London Stock Exchange (LSE), we investigate the relationship between informed trading and the price impact of block trades on intraday and inter-day basis. Price impact of block trades is stronger during the first hour of trading; this is consistent with the...
Persistent link: https://www.econbiz.de/10013005626
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High-frequency lead-lag effects and cross-asset linkages : a multi-asset lagged adjustment model
Buccheri, Giuseppe; Corsi, Fulvio; Peluso, Stefano - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 605-621
Persistent link: https://www.econbiz.de/10012588002
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Coexisting Exchange Platforms : Limit Order Books and Automated Market Makers
Aoyagi, Jun; Ito, Yuki - 2021
. Moreover, we derive the expected return of market makers who provide liquidity via the CFMM algorithm. As in traditional limit …
Persistent link: https://www.econbiz.de/10013236742
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Multi-agent order book simulation : mono- and multi-asset high-frequency market making strategies
Foata, Laurent; Vidhamali, Michael; Abergel, Frédéric - In: Econophysics of Order-driven Markets : proceedings of …, (pp. 139-152). 2011
Persistent link: https://www.econbiz.de/10009349718
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Striving to make better decision quicker in cloud : big data event trading in high frequency trading perspective
Karn Arodh Lal; Sapkota, Niranjan; Rakshha Kumari Karna; … - In: International journal of services technology and … 26 (2020) 2/3, pp. 215-236
Persistent link: https://www.econbiz.de/10012503568
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Testing stylized facts of Bitcoin limit order books
Schnaubelt, Matthias; Rende, Jonas; Krauss, Christopher - In: Essays on financial time series analysis, (pp. 119-167). 2019
order book, autocorrelation in returns on the smallest time scales only, volatility clustering and the timing of large …
Persistent link: https://www.econbiz.de/10012321328
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Latency in fragmented markets
Lee, Tomy - In: Review of economic dynamics 33 (2019), pp. 128-153
Persistent link: https://www.econbiz.de/10012312181
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Algorithmic trading in a microstructural limit order book model
Abergel, Frédéric; Huré, Côme; Pham, Huyên - In: Quantitative finance 20 (2020) 8, pp. 1263-1283
Persistent link: https://www.econbiz.de/10012262662