scholarly journals Optimal Trading in a Limit Order Book Using Linear Strategies

2011 ◽  
Author(s):  
Paolo Pellizzari
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Optimal Trading

OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS

2017 ◽  
Vol 20 (01) ◽  
pp. 1750005 ◽  
Author(s):  
ROSSELLA AGLIARDI ◽  
RAMAZAN GENÇAY
Keyword(s):  
Risk Attitude ◽  
Limit Order Book ◽  
Trading Strategies ◽  
Market Volatility ◽  
Order Book ◽  
Management Problem ◽  
Limit Order ◽  
Optimal Trading ◽  
Limit Orders ◽  
Realistic Modeling

A model is proposed to study the risk management problem of designing optimal trading strategies in a limit order book. The execution of limit orders is uncertain, which leads to a stochastic control problem. In contrast to previous literature, we allow the agents to choose both the quotes and the sizes of their submitted orders. Attention is paid to how the trading strategy is affected by an order book’s characteristics, market volatility and the trader’s risk attitude. We prescribe an optimal splitting of the order size for the trades with limit orders, while the existing literature offers a solution to this problem with market orders, and, at the same time, we provide guidelines to optimally place orders further behind the best price or to (re)position them more aggressively. Thus this paper is an attempt towards a more realistic modeling of optimal liquidation throughout limit orders.

scholarly journals Temporal logistic neural Bag-of-Features for financial time series forecasting leveraging limit order book data

2020 ◽  
Vol 136 ◽  
pp. 183-189 ◽  
Author(s):  
Nikolaos Passalis ◽  
Anastasios Tefas ◽  
Juho Kanniainen ◽  
Moncef Gabbouj ◽  
Alexandros Iosifidis
Keyword(s):  
Time Series ◽  
Financial Time Series ◽  
Limit Order Book ◽  
Time Series Forecasting ◽  
Order Book ◽  
Limit Order ◽  
Bag Of Features ◽  
Financial Time

Benchmark Dataset for Short-Term Market Prediction of Limit Order Book in China Markets

2021 ◽  
pp. jfds.2021.1.074
Author(s):  
Charles Huang ◽  
Weifeng Ge ◽  
Hongsong Chou ◽  
Xin Du
Keyword(s):  
Limit Order Book ◽  
Benchmark Dataset ◽  
Order Book ◽  
Short Term ◽  
Limit Order
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