Aggressive Orders and the Resiliency of a Limit Order Market*

DOI10.1007/S10679-005-7590-6MaRDI QIDQ3374846zbMATHOpenAlexFDO

Authors Hans Degryse, Frank de Jong, Maarten van Ravenswaaij, Gunther Wuyts

Publication date 23 February 2006

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://pure.uvt.nl/portal/en/publications/aggressive-orders-and-the-resiliency-of-a-limit-order-market(8e62b849-399d-469e-91c6-4f91d821f827).html

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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(11)

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• Optimal execution with regime-switching market resilience
• Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange
• Approximation and comparison of the empirical liquidity cost function for various futures contracts
• The market impact of a limit order
• Resiliency of the limit order book
• Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
• The dynamics of ex-ante weighted spread: an empirical analysis
• Limit-order book resiliency after effective market orders: spread, depth and intensity
• Deep reinforcement learning for the optimal placement of cryptocurrency limit orders

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