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Non-Parametric Prediction of the Mid-Price Dynamics in a Limit Order Book

Palguna, Deepan - 2013

Many securities markets are organized as double auctions where each incoming limit order --- i.e., an order to buy or sell at a specific price --- is stored in a data structure called the limit order book. A trade happens whenever a market order arrives --- i.e., an order to buy or sell at the...

Persistent link: https://www.econbiz.de/10013091404

Price jump prediction in a limit order book

Zheng, Ban; Moulines, Eric; Abergel, Frédéric - In: Journal of mathematical finance 3 (2013) 2, pp. 242-255

Persistent link: https://www.econbiz.de/10010239589

Optimal High-Frequency Trading in a Pro-Rata Microstructure with Predictive Information

Guilbaud, Fabien - 2012

We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or limit orders, which are represented respectively by impulse...

Persistent link: https://www.econbiz.de/10013107638

Optimal High-Frequency Trading in a Pro-Rata Microstructure with Predictive Information

Guilbaud, Fabien; Pham, Huyên - 2023

We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader chooses to post either market orders or limit orders, which are represented respectively by impulse...

Persistent link: https://www.econbiz.de/10014257179

Statistical predictions of trading strategies in electronic markets

Cartea, Álvaro; Cohen, Samuel N.; Graumans, Robert; … - 2025

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

Mid-Price Prediction in a Limit Order Book

Palguna, Deepan - 2015

We propose several nonparametric predictors of the mid-price in a limit order book, based on different features constructed from the order book data observed contemporaneously and in the recent past. We evaluate our predictors in the context of an order execution task by constructing order...

Persistent link: https://www.econbiz.de/10013031095

High Frequency Information Content in End-User Foreign Exchange Order Flows

Marsh, Ian - 2011

This paper considers the impact of foreign exchange order flows on contemporaneous and future stock market returns using a new database of customer order flows in the €-$ exchange rate market as seen by a leading European bank. We do not find clear contemporaneous relationships between FX...

Persistent link: https://www.econbiz.de/10013125789

Price Jump Prediction in Limit Order Book

Zheng, Ban - 2012

, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that … liquidity balance on best bid/best ask is quite informative for predicting the future market order's direction. Moreover, we de … market order size as well as the liquidity on the best bid (best ask) are consistently informative for predicting the …

Persistent link: https://www.econbiz.de/10013108794

Big Data Approach to Realised Volatility Forecasting Using HAR Model Augmented With Limit Order Book and News

Rahimikia, Eghbal - 2020

corporate news can help to improve realised volatility forecasting for 23 NASDAQ tickers over the sample from 28 June 2007 to 17 … normal volatility day, the ‘negative' sentiment derived from the news has a clear impact, while ‘news count', and to a lesser … extent, ‘weak modal', and ‘uncertainty' can help to forecast volatility jumps. The depth of the LOB also helps to forecast …

Persistent link: https://www.econbiz.de/10012824203

Deep order flow imbalance : extracting alpha at multiple horizons from the limit order book

Kolm, Petter N.; Turiel, Jeremy; Westray, Nicholas - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1044-1081

Persistent link: https://www.econbiz.de/10014370626