Constrained Optimal Execution in Limit Order Book Market with Power-shaped Market Depth

2021 ◽  
Author(s):  
weiping wu ◽  
Jianjun Gao ◽  
Dian Yu
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Book Market ◽  
Limit Order ◽  
Market Depth ◽  
Optimal Execution

The effects of trade size and market depth on immediate price impact in a limit order book market

2020 ◽  
Vol 120 ◽  
pp. 103992
Author(s):  
Manh Cuong Pham ◽  
Heather Margot Anderson ◽  
Huu Nhan Duong ◽  
Paul Lajbcygier
Keyword(s):  
Limit Order Book ◽  
Price Impact ◽  
Order Book ◽  
Book Market ◽  
Limit Order ◽  
Market Depth ◽  
Trade Size

scholarly journals Optimal Execution in a General One-Sided Limit-Order Book

2011 ◽  
Vol 2 (1) ◽  
pp. 183-212 ◽  
Author(s):  
Silviu Predoiu ◽  
Gennady Shaikhet ◽  
Steven Shreve
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Optimal Execution

scholarly journals Liquidity supply and adverse selection in a pure limit order book market

2005 ◽  
Vol 30 (4) ◽  
pp. 1007-1033 ◽  
Author(s):  
Stefan Frey ◽  
Joachim Grammig
Keyword(s):  
Adverse Selection ◽  
Limit Order Book ◽  
Order Book ◽  
Book Market ◽  
Limit Order

scholarly journals The Relation between Intraday Limit Order Book Depth and Spread

2021 ◽  
Vol 9 (4) ◽  
pp. 60
Author(s):  
Alexandre Aidov ◽  
Olesya Lobanova
Keyword(s):  
Generalized Method Of Moments ◽  
Limit Order Book ◽  
Order Book ◽  
Inverse Relation ◽  
Limit Order ◽  
Market Participants ◽  
Market Depth ◽  
Bid Ask Spread ◽  
Explanatory Factors ◽  
Trading Decisions

Prior studies that examine the relation between market depth and bid–ask spread are often limited to the first level of the limit order book. However, the full limit order book provides important information beyond the first level about the depth and spread, which affects the trading decisions of market participants. This paper examines the intraday behavior of depth and spread in the five-deep limit order book and the relation between depth and spread in a futures market setting. A dummy-variables regression framework is employed and is estimated using the generalized method of moments (GMM). Results indicate an inverse U-shaped pattern for depth and an increasing pattern for spread. After controlling for known explanatory factors, an inverse relation between the limit order book depth and spread is documented. The inverse relation holds for depth and spread at individual levels in the limit order book as well. Results indicate that market participants actively manage both the price (spread) and quantity (depth) dimensions of liquidity along the five-deep limit order book.

scholarly journals Trading strategy with stochastic volatility in a limit order book market

2020 ◽  
Vol 43 (1) ◽  
pp. 277-301
Author(s):  
Qing-Qing Yang ◽  
Wai-Ki Ching ◽  
Jiawen Gu ◽  
Tak-Kuen Siu
Keyword(s):  
Stochastic Volatility ◽  
Trading Strategy ◽  
Limit Order Book ◽  
Order Book ◽  
Book Market ◽  
Limit Order
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