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The price impact of order book events: market orders, limit orders and cancellations
6 references·16 citing·46 second hop
The price impact of order book events: market orders, limit orders and cancellations (2011)The price impact of order book events: ma…How Markets Slowly Digest Changes in Supply and Demand (2009)How Markets Slowly Digest Cha…Empirical Market Microstructure (2007)Empirical Market Microstructu…Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …Transactions, Volume, and Volatility (1994)Transactions, Volume, and Vol…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Universal features of price formation in financial markets: perspectives from deep learning (2021)Universal features of price f…Encoding of high-frequency order information and prediction of short-term stock price by deep learning (2019)Encoding of high-frequency or…High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (2018)High-dimensional Hawkes proce…Deep learning for limit order books (2018)Deep learning for limit order…Dissecting cross-impact on stock markets: an empirical analysis (2017)Dissecting cross-impact on st…The role of volume in order book dynamics: a multivariate Hawkes process analysis (2016)The role of volume in order b…Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (2016)Estimation of slowly decreasi…Discerning information from trade data (2016)Discerning information from t…Large Tick Assets: Implicit Spread and Optimal Tick Size (2015)Large Tick Assets: Implicit S…Dynamic optimal execution in a mixed-market-impact Hawkes price model (2015)Dynamic optimal execution in …Why is equity order flow so persistent? (2014)Why is equity order flow so p…Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders (2014)Is market impact a measure of…Agent-based models for latent liquidity and concave price impact (2014)Agent-based models for latent…Modelling Trades-Through in a Limit Order Book Using Hawkes Processes (2012)Modelling Trades-Through in a…The market impact of a limit order (2011)The market impact of a limit …Statistical Modeling of High-Frequency Financial Data (2011)Statistical Modeling of High-…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Empirical properties of asset returns: stylized facts and statistical issues (2001)Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets (2013)Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data (2015)Modelling high-frequency limit order book dynamics with support vector machines (2015)A Theory of Intraday Patterns: Volume and Price Variability (1988)Why Does Stock Market Volatility Change Over Time? 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(2011)Intraday periodicity and volatility persistence in financial markets (1997)A Stochastic Model for Order Book Dynamics (2010)Enhancing Time-Series Momentum Strategies Using Deep Neural Networks (2019)Deep Learning for Mortgage Risk* (2020)Fin-GAN: forecasting and classifying financial time series via generative adversarial networks (2024)Optimal control of execution costs (1998)Optimal execution of portfolio transactions (2001)Consumer credit-risk models via machine-learning algorithms (2010)Sequence classification of the limit order book using recurrent neural networks (2017)Can deep learning predict risky retail investors? A case study in financial risk behavior forecasting (2019)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence (2013)Informed trading and price discovery before corporate events (2017)Liquidity and Information in Limit Order Markets (2019)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Inefficient Markets (2000)The Long Memory of the Efficient Market (2004)What really causes large price changes? (2004)An empirical behavioral model of liquidity and volatility (2007)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data (2010)Econophysics review: I. Empirical facts (2011)A Survey of Systemic Risk Analytics (2012)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1994Transactions, Volume, and Volatility870 cited
  • 2009How Markets Slowly Digest Changes in Supply and Demand442 cited
  • 2007Empirical Market Microstructure430 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes370 cited

Cited by

  • 2011The market impact of a limit order145 cited
  • 2021Universal features of price formation in financial markets: perspectives from deep learning134 cited
  • 2018Deep learning for limit order books128 cited
  • 2011Statistical Modeling of High-Frequency Financial Data126 cited
  • 2014Why is equity order flow so persistent?108 cited
  • 2016Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics106 cited
  • 2016Discerning information from trade data101 cited
  • 2014Agent-based models for latent liquidity and concave price impact85 cited
  • 2015Large Tick Assets: Implicit Spread and Optimal Tick Size75 cited

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2016
The role of volume in order book dynamics: a multivariate Hawkes process analysis
73 cited
  • 2017Dissecting cross-impact on stock markets: an empirical analysis70 cited
  • 2018High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration63 cited
  • 2015Dynamic optimal execution in a mixed-market-impact Hawkes price model62 cited
  • 2014Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders59 cited
  • 2012Modelling Trades-Through in a Limit Order Book Using Hawkes Processes56 cited
  • 2019Encoding of high-frequency order information and prediction of short-term stock price by deep learning55 cited