Instead of using the classical block-shaped market depth to build the optimal execution model, this work studies the constrained optimal execution problem in a limit order book (LOB) market with a power-shaped market depth. Different from the linear price impact derived from the framework of...

This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is...

I consider limit order book events that are likely to contribute to price discovery in the foreign exchange market. These events involve transactions and limit orders. The variance decomposition shows that improving order and worsening cancel, these are limit order events, substantially...

This paper analyzes the limit order book events arrival dependency structure using high-dimensional Hawkes processes. We seek for recurrent relationships among events from a set of 86 event types which in addition to transactions, includes limit order submissions and cancellations taking place...

A recent and growing body of literature suggests that not only trades are informative but other order book events like a submission or, more generally, the order book imbalance contribute to the price discovery process. In this paper, we analyze the price impact of limit order cancellations....

This work's main purpose is to understand the price dynamics in a generic limit order market, and illustrate a dynamical trading mechanism that can be applied to explore its market microstructure. First and foremost, we capture the iterative nature of the limit order market, and quantitatively...

We examine the effect of learning of uninformed traders in a dynamic limit order market with asymmetric and short-lived information. We show that the learning is effective and valuable with respect to information acquisition, forecasting and buy-sell decision accuracies, and profit opportunity...