Latency and liquidity provision in a limit order book

DOI10.1080/14697688.2017.1296177zbMath1402.91663arXiv1511.04116OpenAlexW3124900943MaRDI QIDQ4555166

Julius Bonart, Martin Gould

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.04116

zbMATH Keywords

high-frequency tradingprice impactliquidity provisionlimit order books

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks, State-dependent Hawkes processes and their application to limit order book modelling, Stock market trend prediction using a functional time series approach

Cites Work

• Limit order books
• Price Dynamics in a Markovian Limit Order Market
• A Stochastic Model for Order Book Dynamics
• Order book approach to price impact
• Statistical theory of the continuous double auction
• Simulating and Analyzing Order Book Data: The Queue-Reactive Model
• Random walks, liquidity molasses and critical response in financial markets
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