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Limit order books and trade informativeness

Beltran Lopez, Helena; Gramming, Joachim; Menkveld, … - In: The European journal of finance 18 (2012) 9/10, pp. 737-759

Persistent link: https://www.econbiz.de/10009691782

Intraday liquidity patterns in limit order books

Malik, Azeem; Wing Lon Ng - In: Studies in economics and finance 31 (2014) 1, pp. 46-71

Persistent link: https://www.econbiz.de/10010258798

The relation between intraday limit order book depth and spread

Aidov, Alexandre; Lobanova, Olesya - In: International Journal of Financial Studies : open … 9 (2021) 4, pp. 1-13

both the price (spread) and quantity (depth) dimensions of liquidity along the five-deep limit order book. …

Persistent link: https://www.econbiz.de/10012698289

Bid- and ask-side liquidity in the NYSE limit order book

Cenesizoglu, Tolga; Grass, Gunnar - In: Journal of financial markets 38 (2018), pp. 14-38

Persistent link: https://www.econbiz.de/10012001137

Liquidation in Limit Order Books with Controlled Intensity

Bayraktar, Erhan - 2014

We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in which the goal is to maximize the expected revenue from...

Persistent link: https://www.econbiz.de/10013060158

Information and optimal trading strategies with dark pools

Bayona, Anna; Dumitrescu, Ariadna; Manzano Tovar, Carolina - In: Economic modelling 126 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014462407

Search costs and investor trading activity : evidence from limit order books

Lin, William; Tsai, Shih-chuan; Sun, David S. - In: Emerging markets finance & trade : a journal of the … 48 (2012) 3, pp. 4-30

Persistent link: https://www.econbiz.de/10009682772

Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?

Cebiroglu, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2014

We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity … additional trade demand. We show, in equilibrium, hiding trade intentions can induce mis-coordination between liquidity supply … in prices and order flow after periods of high excess-supply of hidden liquidity. …

Persistent link: https://www.econbiz.de/10010411280

Optimal liquidation in a limit order book for a risk-averse investor

Løkka, Arne - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 696-727

Persistent link: https://www.econbiz.de/10011308171

Optimal order display in limit order markets with liquidity competition

Cebiroglu, Gökhan; Horst, Ulrich - In: Journal of economic dynamics & control 58 (2015), pp. 81-100

Persistent link: https://www.econbiz.de/10011574644