Reconstruction of order flows using aggregated data
Year of publication: |
September 2016
|
---|---|
Authors: | Toke, Ioane Muni |
Published in: |
Market microstructure and liquidity. - New Jersey : World Scientific, ISSN 2382-6266, ZDB-ID 2880405-3. - Vol. 2.2016, 2, p. 1-34
|
Subject: | Limit order book | order flow | trades and quotes matching | trade signature | Lee-Ready algorithm | model calibration | Wertpapierhandel | Securities trading | Marktmikrostruktur | Market microstructure | Theorie | Theory | Börse | Bourse | Elektronisches Handelssystem | Electronic trading |
-
Inferring trade directions in fast markets
Jurkatis, Simon Willi, (2020)
-
Deep order flow imbalance : extracting alpha at multiple horizons from the limit order book
Kolm, Petter N., (2023)
-
Testing stylized facts of Bitcoin limit order books
Schnaubelt, Matthias, (2019)
- More ...
-
Econophysics review: I. Empirical facts
Chakraborti, Anirban, (2011)
-
Econophysics review: II. Agent-based models
Chakraborti, Anirban, (2011)
-
Chakraborti, Anirban, (2011)
- More ...