scholarly journals Trading Activity and Liquidity Supply in a Pure Limit Order Book Market. An Empirical Analysis Using a Multivariate Count Data Model

2004 ◽  
Author(s):  
Joachim Grammig ◽  
Andréas Heinen ◽  
Erick Williams Rengifo
Keyword(s):  
Empirical Analysis ◽  
Count Data ◽  
Data Model ◽  
Limit Order Book ◽  
Order Book ◽  
Book Market ◽  
Trading Activity ◽  
Limit Order ◽  
Count Data Model

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 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

Modelling the buy and sell intensity in a limit order book market

2007 ◽  
Vol 10 (3) ◽  
pp. 249-286 ◽  
Author(s):  
Anthony D. Hall ◽  
Nikolaus Hautsch
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Book Market ◽  
Limit Order

ORDER PLACEMENT STRATEGIES IN A PURE LIMIT ORDER BOOK MARKET

2008 ◽  
Vol 31 (2) ◽  
pp. 113-140 ◽  
Author(s):  
Charles Cao ◽  
Oliver Hansch ◽  
Xiaoxin Wang
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Book Market ◽  
Limit Order
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