The adaptive nature of liquidity taking in limit order books

Strategic Liquidity Provision in Limit Order Markets

Liquidity in a Limit Order Book Foreign Exchange Trading System

However, technological advances have recently altered the way foreign exchange dealer conduct their business. Bilateral deals still happen, although email conversations are now the norm (typically using the Reuters D2000-1 dealing system). The brokers market has also been revolutionized by the introduction of two electronic broking systems (Reuters D2000-2 and Electronic Broking Services [EBS])...

Liquidation in Limit Order Books with Controlled Intensity

We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in which the goal is to maximize the expected revenue from liquidating the entire position held. We solve this optimal liquidation problem for power-law and exp...

Statistical Analysis of Markovian Queueing Models of Limit Order Books

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Limit Order Book as a Market for Liquidity

We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must trade, yet can choose the type of order and are fully strategic in their decision. Traders di®er by their impatience: less patient traders demand liquidity, more patient traders provide it. Three equilibrium patterns are obtained the pattern is determined by three parameters: th...