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  1. Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk!
  2. High Frequency Trading II: Limit Order Book | QuantStart!
  3. Is the Electronic Open-Limit Order Book Inevitable?.

Long-time behavior of a Hawkes process-based limit order book. SIAM J. Financial Math. An empirical analysis of the limit order book and the order flow in the Paris bourse. Finance 50 — Convergence of Probability Measures , 2nd ed.

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Wiley, New York. Optimal order display in limit order markets with liquidity competition. Control 58 81— Order book dynamics in liquid markets: Limit theorems and diffusion approximations.

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  • A stochastic model for order book dynamics. Stochastic Equations in Infinite Dimensions. Cambridge Univ.

    2. Limit Order Book

    Press, Cambridge. Price, trade size, and information in securities markets.

    What really causes large price changes? Finance 4 — Hydrodynamic limit of order book dynamics. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. The market impact of a limit order. Control 36 — At every time step an agent is chosen with uniform distribution to issue an order.

    Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk

    The order can be a limit order or a market order. If the order is a limit order, it is stored in the book; if the order is a market order, a transaction occurs. Prices are formed at variable time steps, i.

    How The Stock Exchange Works (For Dummies)

    We investigate how the new asynchronous trading mechanism affects the statistical properties of simulated prices. This computational experiment shows that the fat tails of the returns distribution can be recovered simply as a consequence of the limit order book without any additional assumption on agents' behavior. Unable to display preview. Download preview PDF. Skip to main content. Advertisement Hide.

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