scholarly journals General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics

2016 ◽  
Author(s):  
Anatoliy V. Swishchuk ◽  
Katharina Cera ◽  
Tyler Hofmeister
Keyword(s):  
Markov Model ◽  
Limit Order ◽  
Order Books ◽  
Limit Order Books

GENERAL SEMI-MARKOV MODEL FOR LIMIT ORDER BOOKS

2017 ◽  
Vol 20 (03) ◽  
pp. 1750019 ◽  
Author(s):  
ANATOLIY SWISHCHUK ◽  
TYLER HOFMEISTER ◽  
KATHARINA CERA ◽  
JULIA SCHMIDT
Keyword(s):  
Markov Model ◽  
Arbitrary Number ◽  
Limit Order Book ◽  
Numerical Results ◽  
Order Book ◽  
Limit Order ◽  
Price Changes ◽  
Diffusion Limits ◽  
Order Books ◽  
Limit Order Books

The paper considers a general semi-Markov model for limit order books with two states that incorporates price changes that are not fixed to one tick. Furthermore, we introduce an even more general case of the semi-Markov model for limit order books that incorporates an arbitrary number of states for the price changes. For both cases, the justifications, diffusion limits, implementations and numerical results are presented for different limit order book data: Apple, Amazon, Google, Microsoft, Intel on 21 June 2012 and Cisco, Facebook, Intel, Liberty Global, Liberty Interactive, Microsoft, Vodafone from 3 November 2014 to 7 November 2014.

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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