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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

Optimal market access pricing

Riccó, Roberto; Rindi, Barbara; Seppi, Duane J. - 2021 - This version: February 3rd, 2021

Persistent link: https://www.econbiz.de/10012495229

A simple microstructural explanation of the concavity of price impact

Nadtochiy, Sergey - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 78-113

Persistent link: https://www.econbiz.de/10012815948

Electricity intraday price modelling with marked Hawkes processes

Deschatre, Thomas; Gruet, Pierre - In: Applied mathematical finance 29 (2022) 4, pp. 227-260

Persistent link: https://www.econbiz.de/10014291942

Large tick assets : implicit spread and optimal tick size

Dayri, Khalil; Rosenbaum, Mathieu - In: Market microstructure and liquidity 1 (2015) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10011588190

Can strategic market making explain asset pricing? : A microstructure analysis of the treasury bond market

Massa, Massimo; Simonov, Andrei - 2000

Persistent link: https://www.econbiz.de/10001508934

A Markov-switching multifractal inter-trade duration model, with application to US equities

Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342

Persistent link: https://www.econbiz.de/10010255140

Order Book Dynamics in the Presence of Liquidity Fluctuations

Rojas, Helder - 2020

deviations (LD) are proved for our model. Our results allow us to satisfactorily explain the volatility and local trends in the … local trends and volatility are determined by the typical values of the bid-ask spread. In addition, we use our model to …

Persistent link: https://www.econbiz.de/10012837970

LSTM forecasting foreign exchange rates using limit order book

Ito, Katsuki; Iima, Hitoshi; Kitamura, Yoshihiro - In: Finance research letters 47 (2022) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10013455587

Resiliency : cross-venue dynamics with Hawkes processes

Pelizzon, Loriana; Sagade, Satchit; Vozian, Katia - 2020 - This version: September 16th, 2020

Market fragmentation and technological advances increasing the speed of trading altered the functioning and stability of global equity limit order markets. Taking market resiliency as an indicator of market quality, we investigate how resilient are trading venues in a high-frequency environment...

Persistent link: https://www.econbiz.de/10012300550