Order aggressiveness and order book dynamics
نویسندگان
چکیده
منابع مشابه
A 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...
متن کاملOrder 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 کاملChaotic dynamics and synchronization of fractional order PMSM system
In this paper, we investigate the chaotic behaviors of the fractional-order permanent magnet synchronous motor (PMSM) system. The necessary condition for the existence of chaos in the fractional-order PMSM system is deduced and an active controller is developed based on the stability theory for fractional systems. The presented control scheme is simple and flexible, and it is suitable both fo...
متن کاملA Multi-class Queueing Model of Limit Order Book Dynamics
Modern equity markets are computerized technological systems, operating as so-called “electronic limit order books” (LOBs). Market participants, including institutional investors, market makers, and opportunistic investors, are faced with a new set of operational trading challenges as they interact within today’s high-frequency marketplace. This has necessitated the development of electronic tr...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Empirical Economics
سال: 2005
ISSN: 0377-7332,1435-8921
DOI: 10.1007/s00181-005-0008-7