What drives the sensitivity of limit order books to company announcement arrivals?

DOI10.1016/J.ECONLET.2017.07.018zbMATH Open1398.91694OpenAlexW2564179890MaRDI QIDQ1782389FDOQ1782389

Authors: Milla Siikanen, Juho Kanniainen, Arto Luoma 

Publication date: 20 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.07.018

Recommendations

• Resiliency of the limit order book
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• Latency and liquidity provision in a limit order book
• Volume, volatility, and public news announcements

zbMATH Keywords

limit order bookhigh-frequency dataliquiditycompany announcement

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Reduced form modeling of limit order markets

Cited In (1)

• Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data

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