A continuous and efficient fundamental price on the discrete order book grid

DOI10.1016/J.PHYSA.2018.03.002MaRDI QIDQ2149276zbMATH OpenOpenAlexWikidataFDO

Authors Julius Bonart, Fabrizio Lillo

Publication date 28 June 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1608.00756

zbMATH Keywords

market microstructureprice formationliquidity provisiontick size

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• A stochastic model for order book dynamics
• Enhancing trading strategies with order book signals
• Estimating quadratic variation when quoted prices change by a constant increment
• Fluctuations and response in financial markets: the subtle nature of `random' price changes
• Incorporating order-flow into optimal execution
• Jumps in equilibrium prices and market microstructure noise
• Linear models for the impact of order flow on prices. I. History dependent impact models
• Linear models for the impact of order flow on prices. II: The mixture transition distribution model
• Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Microstructure noise in the continuous case: the pre-averaging approach
• Modeling the coupled return-spread high frequency dynamics of large tick assets
• Modelling microstructure noise with mutually exciting point processes
• Realized volatility forecasting and market microstructure noise
• Relation between bid–ask spread, impact and volatility in order-driven markets
• Simulating and analyzing order book data: the queue-reactive model
• The Long Memory of the Efficient Market
• The price impact of order book events: market orders, limit orders and cancellations
• Volatility forecasting and microstructure noise
• Why is equity order flow so persistent?

Cited in

(2)

• Forecasting prices from level-I quotes in the presence of hidden liquidity
• Deep learning for limit order books

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