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The power of patience: a behavioural regularity in limit-order placement
9 references·10 citing·41 second hop
The power of patience: a behavioural regularity in limit-order placement (2002)The power of patience: a behavioural regu…Statistical properties of stock order books: empirical results and models (2002)Statistical properties of sto…Order Submission Strategy and the Curious Case of Marketable Limit Orders (2002)Order Submission Strategy and…Econometric models of limit-order executions (2002)Econometric models of limit-o…Scaling of the distribution of price fluctuations of individual companies (1999)Scaling of the distribution o…Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy (1996)Market vs. Limit Orders: The …An Integrated Model of Market and Limit Orders (1995)An Integrated Model of Market…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Testing Stylized Facts of Bitcoin Limit Order Books (2019)Testing Stylized Facts of Bit…Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes (2015)Modeling high-frequency order…Continuous-time Modeling of Bid-Ask Spread and Price Dynamics in Limit Order Books (2013)Continuous-time Modeling of B…An agent-based modeling approach to study price impact (2012)An agent-based modeling appro…An agent based model of the E-Mini S&P 500 applied to flash crash analysis (2012)An agent based model of the E…Limit Order Books (2011)Limit Order BooksThe Price Impact of Order Book Events (2010)The Price Impact of Order Boo…Emergence of long memory in stock volatility from a modified Mike-Farmer model (2009)Emergence of long memory in s…Applications of Statistical Physics in Finance and Economics (2009)Applications of Statistical P…Heterogeneity and feedback in an agent-based market model (2005)Heterogeneity and feedback in…Economic Forces and the Stock Market (1986)True and apparent scaling: The proximity of the Markov-switching multifractal model to long-range dependence (2007)A Simple Agent-based Financial Market Model: Direct Interactions and Comparisons of Trading Profits (2009)Estimation of a Structural Stochastic Volatility Model of Asset Pricing (2010)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Relation Between Price Changes and Trading Volume: A Survey (1987)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Multifractal detrended fluctuation analysis of nonstationary time series (2002)Universal price impact functions of individual trades in an order-driven market (2010)Determinants of immediate price impacts at the trade level in an emerging order-driven market (2012)A behavioural model of investor sentiment in limit order markets (2016)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Price, trade size, and information in securities markets (1987)The costs and determinants of order aggressiveness (2000)Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong (2001)Limit order books (2013)The Variation of Certain Speculative Prices (1963)Introduction to Econophysics (1999)Power Laws in Economics and Finance (2008)Physical approach to complex systems (2012)Power Laws in Economics: An Introduction (2016)Continuous Auctions and Insider Trading (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Empirical properties of asset returns: stylized facts and statistical issues (2001)Statistical theory of the continuous double auction (2003)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Econophysics review: I. Empirical facts (2011)Is the Electronic Open Limit Order Book Inevitable? (1994)Price Dynamics in Limit Order Markets (1998)The application of continuous-time random walks in finance and economics (2005)Algorithmic Trading and Information (2009)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Information and Learning in Markets: The Impact of Market Microstructure (2008)Limit Order Markets: A Survey (2008)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1999Scaling of the distribution of price fluctuations of individual companies539 cited
  • 1996Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy388 cited
  • 2002Statistical properties of stock order books: empirical results and models358 cited
  • 1995An Integrated Model of Market and Limit Orders212 cited
  • 2002Econometric models of limit-order executions211 cited
  • 2002Order Submission Strategy and the Curious Case of Marketable Limit Orders63 cited

Cited by

  • 2009Emergence of long memory in stock volatility from a modified Mike-Farmer model90 cited
  • 2009Applications of Statistical Physics in Finance and Economics84 cited
  • 2005Heterogeneity and feedback in an agent-based market model75 cited
  • 2012An agent based model of the E-Mini S&P 500 applied to flash crash analysis66 cited
  • 2010The Price Impact of Order Book Events48 cited
  • 2012

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An agent-based modeling approach to study price impact
26 cited
  • 2019Testing Stylized Facts of Bitcoin Limit Order Books25 cited
  • 2015Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes21 cited
  • 2011Limit Order Books21 cited
  • 2013Continuous-time Modeling of Bid-Ask Spread and Price Dynamics in Limit Order Books20 cited