scholarly journals Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets

2013 ◽  
Author(s):  
Kylie-Anne Richards ◽  
Gareth William Peters ◽  
William T.M. Dunsmuir
Keyword(s):  
Empirical Analysis ◽  
Futures Markets ◽  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Heavy Tailed

scholarly journals Volatility and Depth in Commodity and FX Futures Markets

2021 ◽  
Vol 14 (11) ◽  
pp. 545
Author(s):  
Alexandre Aidov ◽  
Olesya Lobanova
Keyword(s):  
Method Of Moments ◽  
Futures Markets ◽  
Generalized Method Of Moments ◽  
Limit Order Book ◽  
Order Book ◽  
Positive Relation ◽  
Limit Order ◽  
Market Participants ◽  
Market Depth ◽  
Foreign Exchange Futures

Prior theory suggests a positive relation between volatility and market depth, while past empirical research finds contrasting results. This paper examines the relation between the volatility and the limit order book depth in commodity and foreign exchange futures markets during a turbulent time using the generalized method of moments (GMM). Results indicate a negative relation between volatility and depth and suggest that the depth in the limit order book decreases as volatility increases. Findings help to understand how market participants provide liquidity in response to shifts in prices.

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

1995 ◽  
Vol 50 (5) ◽  
pp. 1655-1689 ◽  
Author(s):  
BRUNO BIAIS ◽  
PIERRE HILLION ◽  
CHESTER SPATT
Keyword(s):  
Empirical Analysis ◽  
Limit Order Book ◽  
Order Book ◽  
Order Flow ◽  
Limit Order ◽  
Paris Bourse

Heavy-tailed features and dependence in limit order book volume profiles in futures markets

2015 ◽  
Vol 02 (03) ◽  
pp. 1550033 ◽  
Author(s):  
Kylie-Anne Richards ◽  
Gareth W. Peters ◽  
William Dunsmuir
Keyword(s):  
Heavy Tails ◽  
Pareto Distribution ◽  
Generalized Pareto Distribution ◽  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Generalized Pareto ◽  
Futures Exchanges ◽  
Asset Class ◽  
Heavy Tailed

This paper investigates fundamental stochastic attributes of the random structures of the volume profiles of the limit order book. We find statistical evidence that heavy-tailed sub-exponential volume profiles occur on the limit order book and these features are best captured via the generalized Pareto distribution MLE method. In futures exchanges, the heavy tail features are not asset class dependent and occur on ultra or mid-range high frequency. Volume forecasting models should account for heavy tails, time varying parameters and long memory. In application, utilizing the generalized Pareto distribution to model volume profiles allows one to avoid over-estimating the round trip cost of trading.

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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