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

DOI10.1016/J.PHYSA.2018.03.002OpenAlexW3122596863WikidataQ130151538 ScholiaQ130151538MaRDI QIDQ2149276FDOQ2149276

Fabrizio Lillo, Julius Bonart

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

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zbMATH Keywords

market microstructureprice formationliquidity provisiontick size

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Microstructure noise in the continuous case: the pre-averaging approach
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Realized volatility forecasting and market microstructure noise
• Volatility forecasting and microstructure noise
• Why is equity order flow so persistent?
• The price impact of order book events: market orders, limit orders and cancellations
• A Stochastic Model for Order Book Dynamics
• Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
• Simulating and Analyzing Order Book Data: The Queue-Reactive Model
• Modelling microstructure noise with mutually exciting point processes
• Estimating quadratic variation when quoted prices change by a constant increment
• Incorporating order-flow into optimal execution
• Jumps in equilibrium prices and market microstructure noise
• The Long Memory of the Efficient Market
• Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
• Relation between bid–ask spread, impact and volatility in order-driven markets
• Enhancing trading strategies with order book signals
• Modeling the coupled return-spread high frequency dynamics of large tick assets
• 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

Cited In (1)

• Deep learning for limit order books

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