Zobrazeno 1 - 10
of 3 024
pro vyhledávání: '"limit order books"'
We use random walks to simulate the fluid limit of two coupled diffusive limit order books to model correlation emergence. The model implements the arrival, cancellation and diffusion of orders coupled by a pairs trader profiting from the mean-revers
Externí odkaz:
http://arxiv.org/abs/2408.03181
Tick sizes not only influence the granularity of the price formation process but also affect market agents' behavior. We investigate the disparity in the microstructural properties of the Limit Order Book (LOB) across different relative tick sizes. A
Externí odkaz:
http://arxiv.org/abs/2410.08744
Autor:
Nagumo, Shota, Shimada, Takashi
Statistical and dynamical characters of stock markets have been extensively studied, which now is providing the firm basis for econophysics and its application as ``stylized facts''. However, most of those studies are for markets under the continuous
Externí odkaz:
http://arxiv.org/abs/2407.19390
Autor:
Bleher, Johannes, Bleher, Michael
Introducing an algebraic framework for modeling limit order books (LOBs) with tools from physics and stochastic processes, our proposed framework captures the creation and annihilation of orders, order matching, and the time evolution of the LOB stat
Externí odkaz:
http://arxiv.org/abs/2406.04969
We introduce a novel large-scale deep learning model for Limit Order Book mid-price changes forecasting, and we name it `HLOB'. This architecture (i) exploits the information encoded by an Information Filtering Network, namely the Triangulated Maxima
Externí odkaz:
http://arxiv.org/abs/2405.18938
We establish a first and second-order approximation for an infinite dimensional limit order book model (LOB) in a single (''critical'') scaling regime where market and limit orders arrive at a common time scale. With our choice of scaling we obtain n
Externí odkaz:
http://arxiv.org/abs/2308.00805
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One of the key decisions in execution strategies is the choice between a passive (liquidity providing) or an aggressive (liquidity taking) order to execute a trade in a limit order book (LOB). Essential to this choice is the fill probability of a pas
Externí odkaz:
http://arxiv.org/abs/2306.05479