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Predatory trading

Brunnermeier, Markus Konrad; Pedersen, Lasse Heje - 2004

Persistent link: https://www.econbiz.de/10002399234

Asymmetric effects of the limit order book on price dynamics

Cenesizoglu, Tolga; Dionne, Georges; Zhou, Xiaozhou - In: Journal of empirical finance 65 (2022), pp. 77-98

Persistent link: https://www.econbiz.de/10013286401

Price impact in a latent order book

Lemhadri, Ismael - In: Market microstructure and liquidity 5 (2019) 1/4, pp. 1-23

Persistent link: https://www.econbiz.de/10012820060

Limit order book transparency and order aggressiveness at the closing call : lessons from the TWSE 2012 new information disclosure mechanism

Tseng, Yi-Heng; Chen, Shu-Heng - In: Pacific-Basin finance journal 35 (2015) 1, pp. 241-272

Persistent link: https://www.econbiz.de/10011538265

High-resilience limits of block-shaped order books

Kallsen, Jan; Muhle-Karbe, Johannes - 2014

We show that wealth processes in the block-shaped order book model of Obizhaeva/Wang converge to their counterparts in the reduced-form model proposed by Almgren/Chriss, as the resilience of the order book tends to infinity. As an application of this limit theorem, we explain how to reduce...

Persistent link: https://www.econbiz.de/10011293740

Order flows and limit order book resiliency on the Meso-scale

Bechler, Kyle; Ludkovski, Mike - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-33

Persistent link: https://www.econbiz.de/10011988892

Market impact : a systematic study of limit orders

Said, Emilio; Bel Hadj Ayed, Ahmed; Husson, Alexandre; … - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-33

Persistent link: https://www.econbiz.de/10011988894

General semi-Markov model for limit order books

Sviščuk, Anatolij; Hofmeister, Tyler; Cera, Katharina; … - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10011686928

Why do traders split orders?

Garvey, Ryan; Huang, Tao; Wu, Fei - In: The financial review : the official publication of the … 52 (2017) 2, pp. 233-258

Persistent link: https://www.econbiz.de/10011690707

The impact of iceberg orders in limit order books

Frey, Stefan; Sandås, Patrik - In: The quarterly journal of finance 7 (2017) 3, pp. 1-43

Persistent link: https://www.econbiz.de/10011774142