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A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies
16 references·2 citing·47 second hop
A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies (2017)A Markov Model of a Limit Order Book: Thr…Size Discovery (2017)Size DiscoveryHigh Frequency Asymptotics for the Limit Order Book (2016)High Frequency Asymptotics fo…Validity of heavy-traffic steady-state approximations in many-server queues with abandonment (2014)Validity of heavy-traffic ste…The order book as a queueing system: average depth and influence of the size of limit orders (2014)The order book as a queueing …Implementation Details for Frequent Batch Auctions: Slowing Down Markets to the Blink of an Eye (2014)Implementation Details for Fr…The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The High-Frequency Trading Ar…Systems with large flexible server pools: Instability of “natural” load balancing (2013)Systems with large flexible s…Price Dynamics in a Markovian Limit Order Market (2013)Price Dynamics in a Markovian…Limit order books (2013)Limit order booksThe Volume Clock: Insights into theHigh-Frequency Paradigm (2012)The Volume Clock: Insights in…Exact FCFS Matching Rates for Two Infinite Multitype Sequences (2012)Exact FCFS Matching Rates for…A Stochastic Model for Order Book Dynamics (2010)A Stochastic Model for Order …A Dynamic Model of the Limit Order Book (2009)A Dynamic Model of the Limit …A steady-state model of the continuous double auction (2003)A steady-state model of the c…Public Regulation of the Securities Markets (1964)Public Regulation of the Secu…Some Problems in the Theory of Queues (1951)Some Problems in the Theory o…A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics (2021)A Stochastic Partial Differen…A switching self-exciting jump diffusion process for stock prices (2018)A switching self-exciting jum…An Experimental Study of Competitive Market Behavior (1962)An Experimental Study of Competitive Market Behavior (1991)Rock around the Clock : An agent-based model of low- and high-frequency trading (1991)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Anomalous waiting times in high-frequency financial data (2004)Five Years of Continuous-time Random Walks in Econophysics (2006)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Price, trade size, and information in securities markets (1987)How Markets Slowly Digest Changes in Supply and Demand (2009)Optimal trading strategy and supply/demand dynamics (2012)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Trading and Arbitrage in Cryptocurrency Markets (2018)Machine behaviour (2019)On the Stochastic Matrices Associated with Certain Queuing Processes (1953)Telephone Call Centers: Tutorial, Review, and Research Prospects (2003)The Modern Call Center: A Multi‐Disciplinary Perspective on Operations Management Research (2007)A product form solution to a system with multi-type jobs and multi-type servers (2012)A Skill Based Parallel Service System Under FCFS-ALIS — Steady State, Overloads, and Abandonments (2014)Pricing in Ride-Share Platforms: A Queueing-Theoretic Approach (2015)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Empirical properties of asset returns: stylized facts and statistical issues (2001)Optimal high-frequency trading with limit and market orders (2012)Simulating and Analyzing Order Book Data: The Queue-Reactive Model (2014)Universal features of price formation in financial markets: perspectives from deep learning (2019)Power-Law Distributions in Empirical Data (2009)Deep learning for limit order books (2018)Power-law distributions in empirical data (2018)DeepLOB: Deep Convolutional Neural Networks for Limit Order Books (2019)Multifractal analysis of financial markets: a review (2019)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Liquidity, Information, and Infrequently Traded Stocks (1996)Oxford Dictionary of National Biography (2004)Abrupt rise of new machine ecology beyond human response time (2013)Microstructure in the Machine Age (2020)Deep learning in the stock market—a systematic survey of practice, backtesting, and applications (2022)Applied Probability and Queues (1987)Applied Probability and Queues (2003)Limit Order Book as a Market for Liquidity (2005)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)The New Issues Puzzle (1995)Investor Sentiment and the Cross‐Section of Stock Returns (2006)On Queueing Processes with Bulk Service (1954)On Queues in Heavy Traffic (1962)Control Techniques for Complex Networks (2007)
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References

  • 2013The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response886 cited
  • 1964Public Regulation of the Securities Markets679 cited
  • 1951Some Problems in the Theory of Queues653 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 2010A Stochastic Model for Order Book Dynamics506 cited
  • 2013Limit order books310 cited
  • 2013Price Dynamics in a Markovian Limit Order Market294 cited
  • 2012Exact FCFS Matching Rates for Two Infinite Multitype Sequences132 cited
  • 2012The Volume Clock: Insights into theHigh-Frequency Paradigm124 cited
  • 2003A steady-state model of the continuous double auction94 cited
  • 2014Implementation Details for Frequent Batch Auctions: Slowing Down Markets to the Blink of an Eye59 cited
  • 2017Size Discovery58 cited
  • 2014The order book as a queueing system: average depth and influence of the size of limit orders41 cited
  • 2016High Frequency Asymptotics for the Limit Order Book36 cited
  • 2014Validity of heavy-traffic steady-state approximations in many-server queues with abandonment34 cited
  • 2013

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Systems with large flexible server pools: Instability of “natural” load balancing
24 cited

Cited by

  • 2018A switching self-exciting jump diffusion process for stock prices26 cited
  • 2021A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics21 cited