scholarly journals Market making under a weakly consistent limit order book model

2019 ◽  
Vol 2 (3-4) ◽  
pp. 215-238
Author(s):  
Baron Law ◽  
Frederi Viens
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Market Making

Bid- and Ask-Side Liquidity in the NYSE Limit Order Book

2016 ◽  
Author(s):  
Tolga Cenesizoglu ◽  
Gunnar Grass
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Limit Order

scholarly journals Temporal logistic neural Bag-of-Features for financial time series forecasting leveraging limit order book data

2020 ◽  
Vol 136 ◽  
pp. 183-189 ◽  
Author(s):  
Nikolaos Passalis ◽  
Anastasios Tefas ◽  
Juho Kanniainen ◽  
Moncef Gabbouj ◽  
Alexandros Iosifidis
Keyword(s):  
Time Series ◽  
Financial Time Series ◽  
Limit Order Book ◽  
Time Series Forecasting ◽  
Order Book ◽  
Limit Order ◽  
Bag Of Features ◽  
Financial Time

Benchmark Dataset for Short-Term Market Prediction of Limit Order Book in China Markets

2021 ◽  
pp. jfds.2021.1.074
Author(s):  
Charles Huang ◽  
Weifeng Ge ◽  
Hongsong Chou ◽  
Xin Du
Keyword(s):  
Limit Order Book ◽  
Benchmark Dataset ◽  
Order Book ◽  
Short Term ◽  
Limit Order

Mid-Price Prediction in a Limit Order Book

2014 ◽  
Author(s):  
Deepan Palguna ◽  
Ilya Pollak
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Price Prediction

scholarly journals Optimal Placement in a Limit Order Book

2013 ◽  
Author(s):  
Xin Guo ◽  
Adrien de Larrard ◽  
Zhao Ruan
Keyword(s):  
Limit Order Book ◽  
Optimal Placement ◽  
Order Book ◽  
Limit Order
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