Stochastic Market Microstructure Models of Limit Order Books (abstract only)

2020 ◽  
Author(s):  
Costis Maglaras ◽  
Rama Cont
Keyword(s):  
Market Microstructure ◽  
Limit Order ◽  
Order Books ◽  
Limit Order Books ◽  
Stochastic Market

Limit Order Books

2015 ◽  
Author(s):  
Frederic Abergel ◽  
Anirban Chakraborti ◽  
Aymen Jedidi ◽  
Ioane Muni Toke ◽  
Marouane Anane
Keyword(s):  
Limit Order ◽  
Order Books ◽  
Limit Order Books

scholarly journals Deep learning for limit order books

2018 ◽  
Vol 19 (4) ◽  
pp. 549-570 ◽  
Author(s):  
Justin A. Sirignano
Keyword(s):  
Deep Learning ◽  
Limit Order ◽  
Order Books ◽  
Limit Order Books

What drives the sensitivity of limit order books to company announcement arrivals?

2017 ◽  
Vol 159 ◽  
pp. 65-68 ◽  
Author(s):  
Milla Siikanen ◽  
Juho Kanniainen ◽  
Arto Luoma
Keyword(s):  
Limit Order ◽  
Order Books ◽  
Limit Order Books
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