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Trade arrival dynamics and quote imbalance in a limit order book
10 references·0 citing·50 second hopsampled
Trade arrival dynamics and quote imbalance in a limit order book (2013)Trade arrival dynamics and quote imbalanc…Hawkes model for price and trades high-frequency dynamics (2014)Hawkes model for price and tr…Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations (2012)Order Book Dynamics in Liquid…A Stochastic Model for Order Book Dynamics (2010)A Stochastic Model for Order …How Markets Slowly Digest Changes in Supply and Demand (2009)How Markets Slowly Digest Cha…High-frequency trading in a limit order book (2008)High-frequency trading in a l…Direct Estimation of Equity Market Impact (2005)Direct Estimation of Equity M…Statistical theory of the continuous double auction (2003)Statistical theory of the con…Statistical properties of stock order books: empirical results and models (2002)Statistical properties of sto…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…The econometrics of ultra-high frequency data /The econometrics of ultra-hig…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2006)Statistical inference for ergodic point processes and application to Limit Order Book (2016)A Law of Large Numbers for Limit Order Books (2017)Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data (2019)Continuous Auctions and Insider Trading (1985)The predictive power of zero intelligence in financial markets (2005)Limit theorems for nearly unstable Hawkes processes (2013)Limit theorems for nearly unstable Hawkes processes (2015)First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation (2016)Fractional Brownian Motions, Fractional Noises and Applications (1968)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Power Laws in Economics and Finance (2008)No-dynamic-arbitrage and market impact (2010)Power Laws in Economics: An Introduction (2016)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Does Algorithmic Trading Improve Liquidity? (2011)Théorie de la spéculation (1900)Introduction to Econophysics (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)More statistical properties of order books and price impact (2003)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)What really causes large price changes? (2004)Optimal dealer pricing under transactions and return uncertainty (1981)Market microstructure theory (1995)Buy Low Sell High: A High Frequency Trading Perspective (2011)Dealing with the inventory risk: a solution to the market making problem (2012)Handbook of the Economics of Finance (2013)Recent advances in reinforcement learning in finance (2023)The Behavior of Stock Prices Around Institutional Trades (1995)The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)Optimal execution of portfolio transactions (2001)Optimization Methods in Finance (2006)Market impact and trading profile of hidden orders in stock markets (2009)Market Microstructure Invariance: Empirical Hypotheses (2016)Empirical properties of asset returns: stylized facts and statistical issues (2001)Econophysics review: I. Empirical facts (2011)A Theory of Intraday Patterns: Volume and Price Variability (1988)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Time and the Price Impact of a Trade (2000)New frontiers for arch models (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Applied Probability and Queues (1987)Applied Probability and Queues (2003)Limit Order Book as a Market for Liquidity (2005)Limit order books (2013)Price Dynamics in a Markovian Limit Order Market (2013)Universal features of price formation in financial markets: perspectives from deep learning (2019)
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References

  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
  • 2010A Stochastic Model for Order Book Dynamics506 cited
  • 2008High-frequency trading in a limit order book496 cited
  • 2009How Markets Slowly Digest Changes in Supply and Demand442 cited
  • 2005Direct Estimation of Equity Market Impact363 cited
  • 2002Statistical properties of stock order books: empirical results and models358 cited
  • 2003Statistical theory of the continuous double auction349 cited
  • 2014Hawkes model for price and trades high-frequency dynamics189 cited
  • 2012Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations65 cited

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