منابع مشابه
Order Book
• Bollerslev and Domowitz (1993) used computer simulations to study the effects of varying the length of an electronic order book. They state that the appearance and increasing persistence of serial correlation in the variance of transactions price returns is traced to the existence and length of the electronic book, as is the degree of non-normality in transactions returns. Whilst increases in...
متن کاملInformation droughts on the limit order book
This paper studies a financial exchange in which liquidity may “dry up” endogenously. The drought is generated on a model of a limit order book under conditions of asymmetric information and an evolving fundamental. The book exhibits an equilibrium spread that is in steady state when it balances the rate that traders acquire information with the rate at which their stock of information decays. ...
متن کاملLearning Commonalities in SPARQL
Finding the commonalities between descriptions of data or knowledge is a foundational reasoning problem of Machine Learning. It was formalized in the early 70’s as computing a least general generalization (lgg) of such descriptions. We revisit this well-established problem in the SPARQL query language for RDF graphs. In particular, and by contrast to the literature, we address it for the entire...
متن کاملA Stochastic Model for Order Book Dynamics
We propose a stochastic model for the continuous-time dynamics of a limit order book. The model strikes a balance between two desirable features: it captures key empirical properties of order book dynamics and its analytical tractability allows for fast computation of various quantities of interest without resorting to simulation. We describe a simple parameter estimation procedure based on hig...
متن کاملStochastic Modeling of Order Book Dynamics
[Abstract] In this project the order book model proposed by Cont et al. [10] is used as a starting point to model order book dynamics. This model nicely combines three desirable properties from earlier studies: it is easy to calibrate, it reproduces statistical properties of the order book and it allows to make analytical computations in the order book. The model is studied, calibrated and test...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.884363