The market impact of a limit order
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Publication:433360
DOI10.1016/J.JEDC.2011.09.012zbMATH Open1242.91213OpenAlexW3124045061MaRDI QIDQ433360FDOQ433360
Authors: Nikolaus Hautsch, Ruihong Huang 
Publication date: 13 July 2012
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: http://publikationen.ub.uni-frankfurt.de/files/7289/09_23.pdf
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Cites Work
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- 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?
- Testing for unit roots in autoregressive-moving average models of unknown order
- More statistical properties of order books and price impact
- The price impact of order book events: market orders, limit orders and cancellations
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- TESTING LINEAR RESTRICTIONS ON COINTEGRATING VECTORS: SIZES AND POWERS OF WALD AND LIKELIHOOD RATIO TESTS IN FINITE SAMPLES
- The impact of heterogeneous trading rules on the limit order book and order flows
- Impulse response analysis of cointegrated systems
- Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
Cited In (44)
- On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach
- Identifying expensive trades by monitoring the limit order book
- Limit-order book resiliency after effective market orders: spread, depth and intensity
- Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model
- Title not available (Why is that?)
- Market impact and order book characteristics in the Korean futures market
- Price impact of large orders using Hawkes processes
- A weak law of large numbers for a limit order book model with fully state dependent order dynamics
- Market versus limit orders
- Optimal trade execution: a mean quadratic variation approach
- The dynamics of ex-ante weighted spread: an empirical analysis
- A behavioural model of investor sentiment in limit order markets
- Optimal order execution using hidden orders
- Resiliency of the limit order book
- The tick-by-tick dynamical consistency of price impact in limit order books
- Price impact and bursts in liquidity provision
- Linear models for the impact of order flow on prices. II: The mixture transition distribution model
- Limit order books
- More statistical properties of order books and price impact
- Market impact: a systematic study of the high frequency options market
- Hierarchical information and the rate of information diffusion
- Aggressive Orders and the Resiliency of a Limit Order Market*
- The role of fleeting orders on option expiration days
- The effects of trade size and market depth on immediate price impact in a limit order book market
- The immediate price impact of trades on the Australian Stock Exchange
- What drives the sensitivity of limit order books to company announcement arrivals?
- The impact of reduced pre-trade transparency regimes on market quality
- The effect of relaxing daily price limit: evidence from the ChiNext market of China
- Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model
- Non-uniformly sampled simulated price impact of an order-book
- Liquidity fluctuations and the latent dynamics of price impact
- Market impact as anticipation of the order flow imbalance
- The price impact of order book events: market orders, limit orders and cancellations
- The impact of order flow on the foreign exchange market: a copula approach
- Advances in quantitative analysis of finance and accounting. Essays in microstructure in honor of David K. Whitcomb.
- Cross-impact of order flow imbalance in equity markets
- Liquidity and volatility in the U.S. Treasury market
- Learning, information processing and order submission in limit order markets
- Optimal order display in limit order markets with liquidity competition
- Using full limit order book for price jump prediction
- Market or limit orders?
- Order book approach to price impact
- The power of patience: a behavioural regularity in limit-order placement
- Volatility modeling and prediction: the role of price impact
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