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A Semi-Markovian Modeling of Limit Order Markets
16 references·1 citing·44 second hop
A Semi-Markovian Modeling of Limit Order Markets (2017)A Semi-Markovian Modeling of Limit Order …Price Dynamics in a Markovian Limit Order Market (2013)Price Dynamics in a Markovian…Limit order books (2013)Limit order booksOptimal high-frequency trading with limit and market orders (2012)Optimal high-frequency tradin…Optimal Execution in a General One-Sided Limit-Order Book (2011)Optimal Execution in a Genera…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 …High-frequency trading in a limit order book (2008)High-frequency trading in a l…The information content of the limit order book: evidence from NYSE specialist trading decisions (2004)The information content of th…Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …Empirical Analysis of Limit Order Markets (2004)Empirical Analysis of Limit O…Statistical theory of the continuous double auction (2003)Statistical theory of the con…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Market Behavior in a Clearing House (1982)Market Behavior in a Clearing…Market microstructure (1976)Market microstructureGeneral Compound Hawkes Processes in Limit Order Books (2020)General Compound Hawkes Proce…Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (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)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)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)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)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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Inefficient Markets (2000)Empirical properties of asset returns: stylized facts and statistical issues (2001)The Long Memory of the Efficient Market (2004)An empirical behavioral model of liquidity and volatility (2007)Applied Probability and Queues (1987)Applied Probability and Queues (2003)Limit Order Book as a Market for Liquidity (2005)Universal features of price formation in financial markets: perspectives from deep learning (2019)Trades, quotes, inventories, and information (1988)Tests of microstructural hypotheses in the foreign exchange market (1995)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)
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References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 1976Market microstructure555 cited
  • 2010A Stochastic Model for Order Book Dynamics506 cited
  • 2008High-frequency trading in a limit order book496 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes370 cited
  • 2003Statistical theory of the continuous double auction349 cited
  • 2013Limit order books310 cited
  • 2013Price Dynamics in a Markovian Limit Order Market294 cited
  • 2004Empirical Analysis of Limit Order Markets235 cited
  • 2012Optimal high-frequency trading with limit and market orders184 cited
  • 1982Market Behavior in a Clearing House184 cited
  • 2011Optimal Execution in a General One-Sided Limit-Order Book183 cited
  • 2004The information content of the limit order book: evidence from NYSE specialist trading decisions

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177 cited

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  • 2020General Compound Hawkes Processes in Limit Order Books22 cited