The Information Content of Limit Order Book and Short-term Stock Returns based on Information Technology

2014 ◽  
Vol 8 (3) ◽  
pp. 103-116
Author(s):  
Yaqing Liu ◽  
Hongbing Ouyang
Keyword(s):  
Information Technology ◽  
Stock Returns ◽  
Information Content ◽  
Limit Order Book ◽  
Order Book ◽  
Short Term ◽  
Limit Order

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

The information content of an open limit-order book

2009 ◽  
Vol 29 (1) ◽  
pp. 16-41 ◽  
Author(s):  
Charles Cao ◽  
Oliver Hansch ◽  
Xiaoxin Wang
Keyword(s):  
Information Content ◽  
Limit Order Book ◽  
Order Book ◽  
Limit Order

Pre-Trade Transparency and the Information Content of the Limit-Order Book

2011 ◽  
Author(s):  
Huu Nhan Duong ◽  
Petko S. Kalev ◽  
Yang Sun
Keyword(s):  
Information Content ◽  
Limit Order Book ◽  
Order Book ◽  
Limit Order

Patience vs. impatience of traders: Formation of the value-at-price distribution through competition for liquidity

2015 ◽  
Vol 02 (03) ◽  
pp. 1550029
Author(s):  
Peter Lerner
Keyword(s):  
Asymptotic Distribution ◽  
High Frequency ◽  
Imperfect Information ◽  
Limit Order Book ◽  
Order Book ◽  
Short Term ◽  
Limit Order ◽  
Price Distribution ◽  
Realistic Representation ◽  
Dynamic Version

The ability to postpone one's execution in the market without penalty in search of a better price is an important strategic advantage in high-frequency trading. To elucidate competition between traders one has to formulate to a quantitative theory of formation of the execution price from market expectations and quotes. Equilibrium theory was provided in 2005 by Foucault, Kadan and Kandel. I derive an asymptotic distribution of the bids/offers as a function of the ratio of patient and impatient traders using the dynamic version of the Foucault, Kadan and Kandel limit order book (LOB) model. Our version of the LOB model allows stylized, but sufficiently realistic representation of the trading markets. In particular, dynamic LOB allows simulation of the distribution of execution times and spreads from high-frequency quotes. Significant analytic progress is made toward framing of short-term trading as competition for immediacy of execution between traders under imperfect information. The results are qualitatively compared with empirical volume-at-price distribution of highly liquid stocks.

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