Multi-Level Order-Flow Imbalance in a Limit Order Book
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...
متن کاملInformation droughts on the limit order book
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. ...
متن کاملA Bidding Game in a Continuum Limit Order Book
The paper is concerned with a continuum model of the limit order book, viewed as a noncooperative game for n players. An external buyer asks for a random amount X > 0 of a given asset. This amount will be bought at the lowest available price, as long as the price does not exceed a given upper bound P . One or more sellers offer various quantities of the asset at different prices, competing to f...
متن کاملOptimal trading in a limit order book using linear strategies
We numerically determine the equilibrium trading strategies in a Continuous Double Auction (CDA). We consider heterogeneous and liquidity motivated agents, with private values and costs, that trade sequentially in random order under time constraints and are not aware of the type of the other agents in their session. We assume that they submit limit orders using a simple linear function of the c...
متن کاملLiquidity in a Limit Order Book Foreign Exchange Trading System
However, technological advances have recently altered the way foreign exchange dealer conduct their business. Bilateral deals still happen, although email conversations are now the norm (typically using the Reuters D2000-1 dealing system). The brokers market has also been revolutionized by the introduction of two electronic broking systems (Reuters D2000-2 and Electronic Broking Services [EBS])...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Market Microstructure and Liquidity
سال: 2018
ISSN: 2382-6266,2424-8037
DOI: 10.1142/s2382626619500114