HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
نویسندگان
چکیده
منابع مشابه
A Multi-class Queueing Model of Limit Order Book Dynamics
Modern equity markets are computerized technological systems, operating as so-called “electronic limit order books” (LOBs). Market participants, including institutional investors, market makers, and opportunistic investors, are faced with a new set of operational trading challenges as they interact within today’s high-frequency marketplace. This has necessitated the development of electronic tr...
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This paper studies a financial exchange in which liquidity may “dry up” endogenously. The drought is generated on a model of a limit order book under conditions of asymmetric information and an evolving fundamental. The book exhibits an equilibrium spread that is in steady state when it balances the rate that traders acquire information with the rate at which their stock of information decays. ...
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Objective: One of the common tools used to make pre-trade transparency in financial markets is the Limit Order Book. In spite of several researches on the Limit Order Book, there is no consensus about the impact of increasing pre-trade transparency on market quality. Increasing the number of Limit Order Book levels from 3 to 5 levels, in May 2017, for online traders in Tehran Stock Exchange, ga...
متن کاملStochastic Modeling of Order Book Dynamics
[Abstract] In this project the order book model proposed by Cont et al. [10] is used as a starting point to model order book dynamics. This model nicely combines three desirable properties from earlier studies: it is easy to calibrate, it reproduces statistical properties of the order book and it allows to make analytical computations in the order book. The model is studied, calibrated and test...
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An electronic limit order book is resilient when it reverts to its normal shape promptly after large trades. This paper suggests a continuous-time impulse response function based on intensities, which formalizes resiliency in terms of a timeframe and probability of order book replenishment. This is then estimated for trading on an LSE order book, using an appropriate parametric model which view...
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ژورنال
عنوان ژورنال: Probability in the Engineering and Informational Sciences
سال: 2016
ISSN: 0269-9648,1469-8951
DOI: 10.1017/s0269964816000413