We analyze the existence of price manipulation and optimal trade execution strategies in a model for an electronic limit order book with nonlinear price impact and exponential resilience. Our main results show that, under general conditions on the shape function of the limit order book, placing deterministic trade sizes at trading dates that are homogeneously spaced is optimal within a large cl...

Table A1 depicts comparison statistics on the matched sample versus the treatment groups for each distance. Similarly, Table A2 depicts comparison statistics on the network-based group used as a control versus the treatment groups. The variable Total25 is used to control for Amazon’s $25 shipping policy, capturing whether the sum of the price of the reviewed book and any of the books in the loc...

Since the 1997 reform FTSE 100 stocks trade on the London Stock Exchange in a fragmented market. These stocks can be traded either on the electronic order book, SETS, or through dealers posting voluntary quotations. The UK regulator does not enforce any quote display requirement, and best execution requirements are satisfied when prices for off-SETS trades are at least as good as the prices ava...

The Company’s main goal is to increase corporate value, namely the welfare of owner which represented by higher share price. Therefore, in this study, value price book ratio. purpose research examine factors that determine value. Factors are thought influence profitability as measured return on assets (ROA), institutional ownership, number independent commissioners, leverage and company size. p...

Motivated by Cont and Larrard (2013)’s seminal Limit Order Book (LOB) model, we propose a new model for the level I of a LOB in which the arrivals of orders and cancellations are still assumed to be mutually independent, memoryless, and stationary, but, unlike the aforementioned paper, the information about the standing orders at the opposite side of the book after each price change and the arr...

This paper presents a brief overview of data management using the Extensible Markup Language (XML). It presents the basics of XML and the DTDs used to constrain XML data, and describes metadata management using RDF. It also discusses how XML data is queried, referenced, and transformed using stylesheet language XSLT and referencing mechanisms XPath and XPointer. 1 Describing XML Data The Extens...