Search Results - subject:"Limit-Order Book"

Fuzzy representation of a limit order book as a measure of stock liquidity

Stereńczak, Szymon; Marszałek, Adam - In: Financial internet quarterly 22 (2026) 1, pp. 106-120

order book (LOB) by Marszałek and Burczyński (2024) may serve as a measure of stock liquidity. In particular, we aim to test …In this paper, we seek to ascertain whether the recently developed ordered fuzzy number (OFN) representation of a limit …

Persistent link: https://www.econbiz.de/10015620968

Bayesian bilinear neural network for predicting the mid-price dynamics in limit-order book markets

Magris, Martin; Shabani, Mostafa; Iosifidis, Alexandros - In: Journal of forecasting 42 (2023) 6, pp. 1407-1428

Persistent link: https://www.econbiz.de/10014338908

Fuzzy representation of a limit order book as a measure of stock liquidity

Stereńczak, Szymon; Marszałek, Adam - In: Financial Internet Quarterly 22 (2026) 1, pp. 106-120

order book (LOB) by Marsza±ek and Burczy´nski (2024) may serve as a measure of stock liquidity. In particular, we aim to …In this paper, we seek to ascertain whether the recently developed ordered fuzzy number (OFN) representation of a limit …

Persistent link: https://www.econbiz.de/10015625706

Statistical predictions of trading strategies in electronic markets

Cartea, Álvaro; Cohen, Samuel N.; Graumans, Robert; … - In: Journal of financial econometrics 23 (2025) 2, pp. 1-64

Persistent link: https://www.econbiz.de/10015339741

Real-time tracking of public announcements in the limit order book

Arzandeh, Mehdi; Frank, Julieta; Daniels, Justin - In: The journal of futures markets 45 (2025) 6, pp. 569-599

Persistent link: https://www.econbiz.de/10015464824

A Cross-Border Market Model with Limited Transmission Capacities

Kreher, Dörte; Milbradt, Cassandra - In: Mathematical Finance 36 (2025) 1, pp. 237-264

We develop a cross‐border market model for two countries based on a continuous trading mechanism, in which the transmission capacities that enable transactions between market participants from different countries are limited. Our market model can be described by a regime‐switching process...

Persistent link: https://www.econbiz.de/10015579074

The good, the bad, and latency : exploratory trading on Bybit and Binance

Albers, Jakob; Cucuringu, Mihai; Howison, Sam; … - In: Quantitative finance 25 (2025) 6, pp. 919-947

Persistent link: https://www.econbiz.de/10015534166

Deep limit order book forecasting : a microstructural guide

Briola, Antonio; Bartolucci, Silvia; Aste, Tomaso - In: Quantitative finance 25 (2025) 7, pp. 1101-1131

Persistent link: https://www.econbiz.de/10015534180

The role of market makers in hybrid markets

Li, Jiayi; Zhang, Jinqing; Kong, Ao - In: Pacific-Basin finance journal 92 (2025), pp. 1-13

Persistent link: https://www.econbiz.de/10015433122

Limit order book dynamics and order size modelling using Compound Hawkes Process

Jain, Konark; Firoozye, Nikan B.; Kochems, Jonathan; … - In: Finance research letters 69 (2024) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10015080930