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Limit order book (LOB) shape modeling in presence of heterogeneously informed market participants

Drame, Mouhamad - In: Market microstructure and liquidity 5 (2019) 1/4, pp. 1-35

Persistent link: https://www.econbiz.de/10012820075

Instantaneous order impact and high-frequency strategy optimization in limit order books

Gonzalez, Federico; Schervish, Mark J. - In: Market microstructure and liquidity 3 (2017) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10011923314

Behavioral heterogeneity and financial markets : locked/crossed quotes under informationally efficient pricing

Xu, Youzong; Li, Bo - In: Cogent economics & finance 5 (2017) 1, pp. 1-22

Market professionals and regulators have been concerned by locked/crossed quotes (negative quoted spreads) for years. To ease the concerns that locked/crossed quotes may cause confusion or instability in financial markets and to promote market efficiency, the Securities and Exchange Commission...

Persistent link: https://www.econbiz.de/10011886687

Enhancing trading strategies with order book signals

Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian - In: Applied mathematical finance 25 (2018) 1/2, pp. 1-35

Persistent link: https://www.econbiz.de/10011959112

Accruals anomalies could be explained by the adverse selection risk induced by the information structure : the case of the Japanese securities market

Isoyama, Hiroaki - In: Cogent economics & finance 12 (2024) 1, pp. 1-40

investors, as described by market microstructure theory, uninformed investors are exposed to the risk of adverse selection. To …, it is believed that conducting analyses based on aspects of market microstructure theory, which specifically describe …

Persistent link: https://www.econbiz.de/10015386919