Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
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DOI: 10.1007/s00780-021-00464-5
Abstract: We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in continuous time. Both order book depth and resilience are… read more here.
Keywords: execution; trade execution; optimal trade; order book ... See more keywords
A Level-1 Limit Order Book with Time Dependent Arrival Rates
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DOI: 10.1007/s11009-019-09715-7
Abstract: We propose a simple stochastic model for the dynamics of a limit order book, extending the recent work of Cont and de Larrard (SIAM J Financial Math 4(1), 1–25 2013), where the price dynamics are… read more here.
Keywords: limit order; order book; level limit;
Empirical scaling relations of market event rates in foreign currency market
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DOI: 10.1016/j.physa.2018.06.002
Abstract: Abstract The mechanism of order book dynamic is studied by using ultra high frequency data in terms of three market events: injection, cancellation, and transaction. We analyzed the empirical decision-making process of market participants focusing… read more here.
Keywords: scaling relations; injection cancellation; market; event rates ... See more keywords
Testing the effect of technical analysis on market quality and order book dynamics
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DOI: 10.1080/00036846.2018.1529404
Abstract: ABSTRACT We find empirical support for the theoretical finding in agent-based models of limit order book markets that the effect of technical trading on market quality is not positive. When signals occur, technical traders lower… read more here.
Keywords: market quality; order book; order; effect technical ... See more keywords
Forecasting limit order book liquidity supply–demand curves with functional autoregressive dynamics
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DOI: 10.1080/14697688.2019.1622290
Abstract: We develop a dynamic model to simultaneously characterize the liquidity demand and supply in a limit order book. The joint dynamics are modeled in a unified Vector Functional AutoRegressive (VFAR) framework. We derive a closed-form… read more here.
Keywords: limit order; liquidity; order; order book ... See more keywords
How does latent liquidity get revealed in the limit order book?
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Statistical Mechanics: Theory and Experiment"
DOI: 10.1088/1742-5468/aaf10e
Abstract: Latent order book models have allowed for significant progress in our understanding of price formation in financial markets. In particular they are able to reproduce a number of stylized facts, such as the square-root impact… read more here.
Keywords: order book; order; latent liquidity;
Online Learning in Limit Order Book Trade Execution
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DOI: 10.1109/tsp.2018.2858188
Abstract: In this paper, we propose an online learning algorithm for optimal execution in the limit order book of a financial asset. Given a certain number of shares to sell and an allocated time window to… read more here.
Keywords: limit order; execution; order book; online learning ... See more keywords