Particle Filtering and Inference for Limit Order Books in High Frequency Finance

2018 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) ◽

10.1109/icassp.2018.8462072 ◽

2018 ◽

Author(s):

Pinzhang Wang ◽

Lin Li ◽

Simon J. Godsill

Keyword(s):

Particle Filtering ◽

High Frequency ◽

Limit Order ◽

Order Books ◽

Limit Order Books

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Applications of IHRE in High-Frequency Trading: Limit Order Books and their Semi-Markovian Modeling and Implementations

Inhomogeneous Random Evolutions and Their Applications ◽

10.1201/9780429457548-7 ◽

2019 ◽

pp. 179-207

Author(s):

Anatoliy Swishchuk

Keyword(s):

High Frequency ◽

High Frequency Trading ◽

Limit Order ◽

Order Books ◽

Limit Order Books

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Limit Order Books

10.1017/cbo9781316683040 ◽

2015 ◽

Author(s):

Frederic Abergel ◽

Anirban Chakraborti ◽

Aymen Jedidi ◽

Ioane Muni Toke ◽

Marouane Anane

Keyword(s):

Limit Order ◽

Order Books ◽

Limit Order Books

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Deep learning for limit order books

Quantitative Finance ◽

10.1080/14697688.2018.1546053 ◽

2018 ◽

Vol 19 (4) ◽

pp. 549-570 ◽

Author(s):

Justin A. Sirignano

Keyword(s):

Deep Learning ◽

Limit Order ◽

Order Books ◽

Limit Order Books

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General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics

SSRN Electronic Journal ◽

10.2139/ssrn.2820221 ◽

2016 ◽

Author(s):

Anatoliy V. Swishchuk ◽

Katharina Cera ◽

Tyler Hofmeister

Keyword(s):

Markov Model ◽

Limit Order ◽

Order Books ◽

Limit Order Books

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What drives the sensitivity of limit order books to company announcement arrivals?

Economics Letters ◽

10.1016/j.econlet.2017.07.018 ◽

2017 ◽

Vol 159 ◽

pp. 65-68 ◽

Author(s):

Milla Siikanen ◽

Juho Kanniainen ◽

Arto Luoma

Keyword(s):

Limit Order ◽

Order Books ◽

Limit Order Books

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Optimal Execution Strategies in Limit Order Books with General Shape Functions

SSRN Electronic Journal ◽

10.2139/ssrn.1510104 ◽

2009 ◽

Author(s):

Aurélien Alfonsi ◽

Antje Fruth ◽

Alexander Schied

Keyword(s):

Shape Functions ◽

General Shape ◽

Limit Order ◽

Optimal Execution ◽

Order Books ◽

Limit Order Books

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A functional limit theorem for limit order books with state dependent price dynamics

The Annals of Applied Probability ◽

10.1214/16-aap1265 ◽

2017 ◽

Vol 27 (5) ◽

pp. 2753-2806 ◽

Author(s):

Christian Bayer ◽

Ulrich Horst ◽

Jinniao Qiu

Keyword(s):

Limit Theorem ◽

Functional Limit Theorem ◽

Price Dynamics ◽

Functional Limit ◽

Limit Order ◽

State Dependent ◽

Order Books ◽

Limit Order Books

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The Santa Fe Model for Limit Order Books

Trades, Quotes and Prices ◽

10.1017/9781316659335.012 ◽

2018 ◽

pp. 134-158

Keyword(s):

Fe Model ◽

Santa Fe ◽

Limit Order ◽

Order Books ◽

Limit Order Books

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Stochastic Market Microstructure Models of Limit Order Books (abstract only)

10.1287/educ.2020.0222 ◽

2020 ◽

Author(s):

Costis Maglaras ◽

Rama Cont

Keyword(s):

Market Microstructure ◽

Limit Order ◽

Order Books ◽

Limit Order Books ◽

Stochastic Market

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Electronic Limit Order Books and Market Resiliency: Theory, Evidence, and Practice

Advances in Quantitative Analysis of Finance & Accounting - Advances in Quantitative Analysis of Finance and Accounting ◽

10.1142/9789812707291_0002 ◽

2006 ◽

pp. 19-37 ◽

Author(s):

Mark Coppejans ◽

Ian Domowitz ◽

Ananth Madhavan

Keyword(s):

Limit Order ◽

Resiliency Theory ◽

Order Books ◽

Limit Order Books

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