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  • Search: subject:"Limit-order book"
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Year of publication
Subject
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Wertpapierhandel 185 Securities trading 176 Limit order book 128 Market microstructure 127 Marktmikrostruktur 122 Börsenkurs 121 Share price 117 Theorie 115 Theory 109 limit order book 109 Bid-ask spread 82 Geld-Brief-Spanne 82 Electronic trading 65 Elektronisches Handelssystem 65 Liquidity 57 Börsenhandel 56 Stock exchange trading 56 Liquidität 43 Marktliquidität 37 Market liquidity 33 liquidity 29 market microstructure 28 Schätzung 27 Volatility 27 Limit Order Book 26 Volatilität 26 Estimation 25 Speculation 23 Spekulation 23 High-frequency trading 22 Financial market 21 Finanzmarkt 21 Portfolio selection 18 Portfolio-Management 18 Anlageverhalten 17 Behavioural finance 17 Stochastischer Prozess 16 high-frequency trading 16 Adverse selection 14 Financial market regulation 14
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Online availability
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Free 154 Undetermined 135 CC license 7
Type of publication
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Article 196 Book / Working Paper 138
Type of publication (narrower categories)
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Article in journal 149 Aufsatz in Zeitschrift 149 Working Paper 55 Graue Literatur 34 Non-commercial literature 34 Arbeitspapier 33 Article 10 research-article 3 Aufsatz im Buch 2 Book section 2 Conference paper 1 Hochschulschrift 1 Konferenzbeitrag 1
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Language
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English 237 Undetermined 95 Hungarian 1 Slovak 1
Author
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Hautsch, Nikolaus 16 Napoletano, Mauro 13 Horst, Ulrich 11 Dionne, Georges 10 Leal, Sandrine Jacob 9 Rindi, Barbara 9 Roventini, Andrea 9 Fagiolo, Giorgio 8 Zhou, Xiaozhou 8 Abergel, Frédéric 7 Cebiroglu, Gökhan 7 Härdle, Wolfgang Karl 7 Toke, Ioane Muni 7 Cont, Rama 6 Grammig, Joachim 6 Large, Jeremy 6 Mihoci, Andrija 6 Buti, Sabrina 5 Werner, Ingrid M. 5 Zheng, Ban 5 Attar, Andrea 4 Biais, Bruno 4 Chung, Huimin 4 Härdle, Wolfgang 4 Jacob Leal, Sandrine 4 Kalev, Petko S. 4 Lu, Jie 4 Mariotti, Thomas 4 Menkveld, Albert J. 4 Pomponio, Fabrizio 4 Salanié, François 4 Stenfors, Alexis 4 Wang, Jiang 4 Zhou, Wei-Xing 4 Beltran-Lopez, Héléna 3 Bibinger, Markus 3 Cenesizoglu, Tolga 3 Chen, Shi 3 Chen, Wei 3 Declerck, Fany 3
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Institution
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HAL 11 Center for Financial Studies 6 Department of Economics, Oxford University 4 Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät 4 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 3 Economics Group, Nuffield College, University of Oxford 3 Institutionen för Nationalekonomi, Umeå Universitet 3 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 2 Econometric Society 2 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 2 Finance Discipline Group, Business School 2 Groupe de REcherche en Droit, Économie, Gestion (GREDEG), Institut Supérieur d'Économie et Management (ISEM) 2 School of Economics and Finance, Tasmanian School of Business and Economics 2 Schweizerische Nationalbank (SNB) 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Banque de France 1 C.E.P.R. Discussion Papers 1 Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät 1 Centre de recherche en Économie (OFCE), Sciences économiques 1 Centro di Studi Internazionali Sull'Economia e la Sviluppo (CEIS), Facoltà di Economia 1 Departamento de Fundamentos del Análisis Económico II, Facultad de Ciencias Económicas y Empresariales 1 Department of Economics, Rutgers University-New Brunswick 1 Department of Economics, Sciences économiques 1 Dipartimento di Scienze Economiche, Facoltà di Economia 1 Eberhard Karls Universität Tübingen 1 EconWPA 1 Faculteit Economie en Bedrijfskunde, Universiteit Gent 1 Federal Reserve Bank of New York 1 Federal Reserve Board (Board of Governors of the Federal Reserve System) 1 HEC Paris (École des Hautes Études Commerciales) 1 Indira Gandhi Institute of Development Research (IGIDR) 1 Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain 1 Institut für Weltwirtschaft (IfW) 1 Institute for Financial Research (SIFR) 1 Institute for Monetary and Economic Studies, Bank of Japan 1 Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna 1 London School of Economics (LSE) 1 National Centre for Econometric Research (NCER) 1 National Research University Higher School of Economics 1
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Published in...
All
Quantitative finance 13 CFS Working Paper Series 8 Journal of financial markets 8 Market microstructure and liquidity 8 Working Papers / HAL 8 Journal of economic dynamics & control 6 Journal of international financial markets, institutions & money 6 CFS Working Paper 5 Economic modelling 5 Finance research letters 5 International journal of financial engineering 5 CFR Working Papers 4 Economics Series Working Papers / Department of Economics, Oxford University 4 Finance and stochastics 4 International journal of theoretical and applied finance 4 Journal of Risk and Financial Management 4 Journal of banking & finance 4 Journal of risk and financial management : JRFM 4 Pacific-Basin finance journal 4 Physica A: Statistical Mechanics and its Applications 4 SFB 649 Discussion Paper 4 CORE Discussion Papers 3 Computational economics 3 Economics Papers / Economics Group, Nuffield College, University of Oxford 3 Journal of Financial Markets 3 Journal of empirical finance 3 Journal of financial economics 3 Journal of forecasting 3 Mathematical finance : an international journal of mathematics, statistics and financial theory 3 Post-Print / HAL 3 Umeå Economic Studies 3 Working papers 3 Working papers / Innocenzo Gasparini Institute for Economic Research 3 Applied mathematical finance 2 CFR Working Paper 2 CFR working paper 2 CFS working paper series 2 CIRRELT 2 Cahiers de recherche 2 Empirical Economics 2
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Source
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ECONIS (ZBW) 185 RePEc 114 EconStor 32 Other ZBW resources 3
Showing 1 - 10 of 334
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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
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Statistical predictions of trading strategies in electronic markets
Cartea, Álvaro; Cohen, Samuel N.; Graumans, Robert; … - 2025
Persistent link: https://www.econbiz.de/10015339741
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Neural stochastic agent-based limit order book simulation with neural point process and diffusion probabilistic model
Shi, Zijian; Cartlidge, John - In: Intelligent systems in accounting, finance & management 31 (2024) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10014530827
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Detecting the risk of cross-product manipulation in the EUREX fixed income futures market
Stenfors, Alexis; Dilshani, Kaveesha; Guo, Andy; Mere, Peter - In: Journal of international financial markets, … 92 (2024), pp. 1-22
Persistent link: https://www.econbiz.de/10014535735
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High price impact trades identification and its implication for volatility and price efficiency
Dionne, Georges; Zhou, Xiaozhou - 2024
Persistent link: https://www.econbiz.de/10015079793
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High price impact trades identification and its implication for volatility and price efficiency
Dionne, Georges; Zhou, Xiaozhou - 2024
Persistent link: https://www.econbiz.de/10015080720
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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
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Optimal trade execution in cryptocurrency markets
Bundi, Nils; Wei, Ching-Lin; Khashanah, Khaldoun - In: Digital finance : smart data analytics, investment … 6 (2024) 2, pp. 283-318
Persistent link: https://www.econbiz.de/10014584489
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Deep learning option price movement
Wang, Weiguan; Xu, Jia - In: Risks : open access journal 12 (2024) 6, pp. 1-17
Understanding how price-volume information determines future price movement is important for market makers who frequently place orders on both buy and sell sides, and for traders to split meta-orders to reduce price impact. Given the complex non-linear nature of the problem, we consider the...
Persistent link: https://www.econbiz.de/10014636721
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Pricing of interdealer derivatives in a limit order market
Kamate, Vidya; Kumar, Abhishek - 2024
Persistent link: https://www.econbiz.de/10014487019
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