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Enhancing trading strategies with order book signals
9 references·10 citing·43 second hopsampled
Enhancing trading strategies with order book signals (2018)Enhancing trading strategies with order b…Incorporating order-flow into optimal execution (2016)Incorporating order-flow into…Simulating and Analyzing Order Book Data: The Queue-Reactive Model (2014)Simulating and Analyzing Orde…The Price Impact of Order Book Events (2013)The Price Impact of Order Boo…Optimal high-frequency trading with limit and market orders (2012)Optimal high-frequency tradin…Dealing with the inventory risk: a solution to the market making problem (2012)Dealing with the inventory ri…Buy Low Sell High: A High Frequency Trading Perspective (2011)Buy Low Sell High: A High Fre…High-frequency trading in a limit order book (2008)High-frequency trading in a l…Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Decentralized Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision (2024)Decentralized Finance and Aut…Cross-impact of order flow imbalance in equity markets (2023)Cross-impact of order flow im…State-dependent Hawkes processes and their application to limit order book modelling (2021)State-dependent Hawkes proces…Market Making With Signals Through Deep Reinforcement Learning (2021)Market Making With Signals Th…Spoofing and Price Manipulation in Order-Driven Markets (2020)Spoofing and Price Manipulati…Mean-Field Game Strategies for Optimal Execution (2019)Mean-Field Game Strategies fo…Unscheduled News and Market Dynamics (2018)Unscheduled News and Market D…Deep learning for limit order books (2018)Deep learning for limit order…Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book (2016)Queue Imbalance as a One-Tick…ALGORITHMIC TRADING WITH LEARNING (2016)ALGORITHMIC TRADING WITH LEAR…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)Price Dynamics in Limit Order Markets (1998)Limit Order Book as a Market for Liquidity (2005)A Dynamic Model of the Limit Order Book (2009)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Introduction to Matrix Analytic Methods in Stochastic Modeling (1999)Optimal execution of portfolio transactions (2001)Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (2016)High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (2018)Optimal dealer pricing under transactions and return uncertainty (1981)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Asset pricing and the bid-ask spread (1986)Examining price and service competition among retailers in a supply chain under potential demand disruption (2017)Market microstructure theory (1995)Handbook of the Economics of Finance (2013)Recent advances in reinforcement learning in finance (2023)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)The Relation Between Price Changes and Trading Volume: A Survey (1987)Inferring Trade Direction from Intraday Data (1991)Hawkes model for price and trades high-frequency dynamics (2014)Price Discovery without Trading: Evidence from Limit Orders (2019)Universal features of price formation in financial markets: perspectives from deep learning (2019)Optimal control of execution costs (1998)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)Deep Learning for Mortgage Risk* (2020)Dealership market (1980)Continuous-time Stochastic Control and Optimization with Financial Applications (2009)Does Algorithmic Trading Improve Liquidity? (2011)GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION (2013)Optimal execution with limit and market orders (2015)Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective (2019)Double Deep Q-Learning for Optimal Execution (2021)Optimal Portfolio Liquidation with Limit Orders (2012)Modelling high-frequency limit order book dynamics with support vector machines (2015)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 2008High-frequency trading in a limit order book496 cited
  • 2013The Price Impact of Order Book Events348 cited
  • 2012Dealing with the inventory risk: a solution to the market making problem207 cited
  • 2011Buy Low Sell High: A High Frequency Trading Perspective199 cited
  • 2012Optimal high-frequency trading with limit and market orders184 cited
  • 2014Simulating and Analyzing Order Book Data: The Queue-Reactive Model153 cited
  • 2016Incorporating order-flow into optimal execution134 cited

Cited by

  • 2018Deep learning for limit order books128 cited
  • 2019Mean-Field Game Strategies for Optimal Execution79 cited
  • 2021State-dependent Hawkes processes and their application to limit order book modelling64 cited
  • 2021Market Making With Signals Through Deep Reinforcement Learning48 cited
  • 2018Unscheduled News and Market Dynamics46 cited
  • 2016ALGORITHMIC TRADING WITH LEARNING41 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2016Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book38 cited
  • 2023Cross-impact of order flow imbalance in equity markets33 cited
  • 2020Spoofing and Price Manipulation in Order-Driven Markets32 cited
  • 2024Decentralized Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision29 cited