Order Flows and Limit Order Book Resiliency on the Meso-Scale
نویسندگان
چکیده
منابع مشابه
Measuring the Resiliency of an Electronic Limit Order Book
An electronic limit order book is resilient when it reverts to its normal shape promptly after large trades. This paper suggests a continuous-time impulse response function based on intensities, which formalizes resiliency in terms of a timeframe and probability of order book replenishment. This is then estimated for trading on an LSE order book, using an appropriate parametric model which view...
متن کاملThe Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows
In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. The model developed here extends the earlier one of Chiarella and Iori (2002) in several important aspects, in particular agents have heterogenous time horizons and can submit orders of sizes larger than one, determined either by utilit...
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 کاملTransparency & Quality: The Impact of Increasing Limit Order Book levels on Tehran Stock Exchange
Objective: One of the common tools used to make pre-trade transparency in financial markets is the Limit Order Book. In spite of several researches on the Limit Order Book, there is no consensus about the impact of increasing pre-trade transparency on market quality. Increasing the number of Limit Order Book levels from 3 to 5 levels, in May 2017, for online traders in Tehran Stock Exchange, ga...
متن کاملThe limit order book on different time scales
Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses over to a more systematic global behavior.
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: Market Microstructure and Liquidity
سال: 2017
ISSN: 2382-6266,2424-8037
DOI: 10.1142/s2382626618500065