The market impact of a limit order
From MaRDI portal
Publication:433360
DOI10.1016/j.jedc.2011.09.012zbMath1242.91213OpenAlexW3124045061MaRDI QIDQ433360
Ruihong Huang, Nikolaus Hautsch
Publication date: 13 July 2012
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://publikationen.ub.uni-frankfurt.de/files/7289/09_23.pdf
Related Items
On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach ⋮ Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model ⋮ Optimal order execution using hidden orders ⋮ Hierarchical information and the rate of information diffusion ⋮ Optimal trade execution: a mean quadratic variation approach ⋮ Price impact and bursts in liquidity provision ⋮ Liquidity fluctuations and the latent dynamics of price impact ⋮ Resiliency of the limit order book ⋮ Optimal order display in limit order markets with liquidity competition ⋮ Cross-impact of order flow imbalance in equity markets ⋮ The role of fleeting orders on option expiration days ⋮ Liquidity and volatility in the U.S. Treasury market ⋮ Volatility modeling and prediction: the role of price impact ⋮ The effects of trade size and market depth on immediate price impact in a limit order book market ⋮ Unnamed Item ⋮ Market or limit orders? ⋮ A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics ⋮ Limit order books ⋮ The price impact of order book events: market orders, limit orders and cancellations
Cites Work
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
- Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Impulse response analysis of cointegrated systems
- More statistical properties of order books and price impact
- The impact of heterogeneous trading rules on the limit order book and order flows
- The price impact of order book events: market orders, limit orders and cancellations
- Testing for unit roots in autoregressive-moving average models of unknown order
- On a measure of lack of fit in time series models
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- TESTING LINEAR RESTRICTIONS ON COINTEGRATING VECTORS: SIZES AND POWERS OF WALD AND LIKELIHOOD RATIO TESTS IN FINITE SAMPLES
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
