scholarly journals Effects of the Limit Order Book on Price Dynamics

2014 ◽  
Author(s):  
Tolga Cenesizoglu ◽  
Georges Dionne ◽  
Xiaozhou Zhou
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Price Dynamics ◽  
Limit Order

scholarly journals Asymmetric effects of the limit order book on price dynamics

2021 ◽  
Author(s):  
Tolga Cenesizoglu ◽  
Georges Dionne ◽  
Xiaozhou Zhou
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Price Dynamics ◽  
Limit Order ◽  
Asymmetric Effects

scholarly journals Asymmetric Effects of the Limit Order Book on Price Dynamics

2016 ◽  
Author(s):  
Tolga Cenesizoglu ◽  
Xiaozhou Zhou
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Price Dynamics ◽  
Limit Order ◽  
Asymmetric Effects

Non-Parametric Prediction of the Mid-Price Dynamics in a Limit Order Book

2012 ◽  
Author(s):  
Deepan Palguna ◽  
Ilya Pollak
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Price Dynamics ◽  
Limit Order ◽  
Non Parametric

scholarly journals Price Dynamics in an Order-Driven Market with Bayesian Learning

Complexity ◽  
2018 ◽  
Vol 2018 ◽  
pp. 1-15
Author(s):  
Jiahua Wang ◽  
Hongliang Zhu ◽  
Dongxin Li
Keyword(s):  
Financial Markets ◽  
Bayesian Learning ◽  
Limit Order Book ◽  
Order Book ◽  
Price Dynamics ◽  
Stylized Facts ◽  
Limit Order ◽  
Learning Mechanism ◽  
Limit Order Markets ◽  
Order Driven Market

In this paper, we have developed a model of limit order book with learning mechanism and investigated its price dynamics. In this model, continuous Bayesian learning is introduced to describe the dynamics of self-adjusting learning mechanism of agents, which can result in some important stylized facts of limit order markets. This study also provides some behavioral explanations for these well-known stylized facts that are commonly observed in the financial markets.

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

A Theoretical Model of the Limit Order Book and Some Applications

2006 ◽  
Author(s):  
Joerg Osterrieder
Keyword(s):  
Theoretical Model ◽  
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
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