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The information content of a limit order book: The case of an FX market
16 references·1 citing·42 second hop
The information content of a limit order book: The case of an FX market (2011)The information content of a limit order …Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Rise of the Machines: Algorit…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…The “make or take” decision in an electronic market: Evidence on the evolution of liquidity (2004)The “make or take” decision i…Order imbalance and individual stock returns: Theory and evidence (2003)Order imbalance and individua…A Universal Performance Measure (2002)A Universal Performance Measu…Using genetic algorithms to find technical trading rules (1999)Using genetic algorithms to f…Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Liquidity Provision with Limi…Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach (1997)Is Technical Analysis in the …Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Economic Forecast Evaluation: Profits versus the Conventional Error Measures (1991)Economic Forecast Evaluation:…Filter Rules and Stock-Market Trading (1966)Filter Rules and Stock-Market…Price Movements in Speculative Markets : Trends or Random Walks (1961)Price Movements in Speculativ…Technical Analysis in the Foreign Exchange Market (2011)Technical Analysis in the For…The Behavior of Stock-Market Prices (1965)An Anatomy of Trading Strategies (1998)The illusory nature of momentum profits (2003)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Estimating the components of the bid/ask spread (1988)Differences of Opinion Make a Horse Race (1993)Limit Order Book as a Market for Liquidity (2005)A Dynamic Model of the Limit Order Book (2009)A Theory of Auctions and Competitive Bidding (1982)Continuous Auctions and Insider Trading (1985)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Flow Toxicity and Liquidity in a High-frequency World (2012)Algorithmic Trading and the Market for Liquidity (2013)Artificial intelligence and machine learning in finance: A bibliometric review (2022)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)The use of technical analysis in the foreign exchange market (1992)Market Statistics and Technical Analysis: The Role of Volume (1994)Chapter 24 Agent-based Computational Finance (2006)WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS? (2007)Currency momentum strategies (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)Comparing Predictive Accuracy (1994)Macroeconomic Forecasting Using Diffusion Indexes (2002)A Test for Superior Predictive Ability (2005)Large Bayesian vector auto regressions (2009)Volatility forecast comparison using imperfect volatility proxies (2010)Inferring Trade Direction from Intraday Data (1991)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Low-Latency Trading (2011)High-Frequency Trading and Price Discovery (2014)Expected stock returns and volatility (1987)Prospect Theory: An Analysis of Decision under Risk (1979)An Evolutionary Theory of Economic Change. (1983)Prospect theory: An analysis of decision under risk (1988)Institutional Investors and the Informational Efficiency of Prices (2009)Sustainable Development and Financial Markets (2015)Machine learning techniques and data for stock market forecasting: A literature review (2022)Forecasting Stock Returns (2013)Rational Theory of Warrant Pricing (2015)
this work references cited by second hop

References

  • 2004The Adaptive Markets Hypothesis1,708 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1999Using genetic algorithms to find technical trading rules855 cited
  • 1966Filter Rules and Stock-Market Trading832 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 1961Price Movements in Speculative Markets : Trends or Random Walks645 cited
  • 1997Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach641 cited
  • 2014Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market606 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 2002A Universal Performance Measure590 cited
  • 2003Order imbalance and individual stock returns: Theory and evidence571 cited
  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
  • 2004The “make or take” decision in an electronic market: Evidence on the evolution of liquidity483 cited

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1991
Economic Forecast Evaluation: Profits versus the Conventional Error Measures
453 cited

Cited by

  • 2011Technical Analysis in the Foreign Exchange Market32 cited