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- Springer
- Facultad de Ciencias Económicas, Departamento de Estructura Económica y Economía Pública, Universidad de Zaragoza.
- Monterey, California: Naval Postgraduate School
- [Bloomington, Ind.] : Indiana University
- Universität Tübingen
- Instituto Superior de Economia e Gestão
- Elsevier
- Universidade Cornell
- University of Cambridge; Department of Pure Mathematics and Mathematical Statistics; Emmanuel College; Statistics Laboratory
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## A multi agent model for the limit order book dynamics

Fonte: Springer
Publicador: Springer

Tipo: Artigo de Revista Científica

Publicado em //2010
Português

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In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book. The agents follow a noise decision making process where their actions are related to a stochastic variable, the market sentiment, which we define as a mixture of public and private information. The model, despite making just few basic assumptions over the trading strategies of the agents, is able to reproduce several empirical features of the high-frequency dynamics of the market microstructure not only related to the price movements but also to the deposition of the orders in the book.; M. Bartolozzi

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## Understanding the ex-ante cost of liquidity in the limit order book: a note

Fonte: Facultad de Ciencias Económicas, Departamento de Estructura Económica y Economía Pública, Universidad de Zaragoza.
Publicador: Facultad de Ciencias Económicas, Departamento de Estructura Económica y Economía Pública, Universidad de Zaragoza.

Tipo: Artigo de Revista Científica
Formato: text/plain; application/pdf

Publicado em //2005
Português

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#Función de liquidez#Coste de liquidez#Libro de órdenes límite#Horquilla de precios#Profundidad#liquidity function#liquidity cost#open limit order book#bid-ask spread#depth#G14

El presente trabajo estima una nueva medida de coste de liquidez de los activos financieros en un mercado dirigido por órdenes. Esta medida, denominada función de liquidez, recoge el coste ex-ante de comprar y vender simultáneamente una determinada cantidad de acciones haciendo uso de toda la información ofrecida por el libro de órdenes. De esta manera se superan las dificultades que la consideración por separado de la horquilla de precios o la profundidad ocasiona sobre la caracterización de la liquidez de los diferentes activos.; This paper estimates a new measure of liquidity costs in a market driven by orders. It represents the cost of simultaneously buying and selling a given amount of shares, and it is given by a single measure of ex-ante liquidity that aggregates all available information in the limit order book for a given number of shares. The cost of liquidity is an increasing function relating bid-ask spreads with the amounts available for trading. This measure completely characterizes the cost of liquidity of any given asset. It does not suffer from the usual ambiguities related to either the bid-ask spread or depth when they are considered separately. On the contrary, with a single measure, we are able to capture all dimensions of liquidity costs on ex-ante basis.

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## Adjusting the capital asset pricing model for the short-run with liquidity proxies, while accounting for denials and deceptions in financial markets

Fonte: Monterey, California: Naval Postgraduate School
Publicador: Monterey, California: Naval Postgraduate School

Tipo: Tese de Doutorado

Português

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#capital asset pricing model#liquidity#limit order book#order types#sensitivity#volatility#high-frequency trading#algorithmic trading#alternative trading systems#efficient market hypothesis#adaptive market hypothesis

Approved for public release; distribution is unlimited.; William Sharpe's 1964 capital asset pricing model relies heavily on an accurate assessment of the asset's sensitivity to the broader market, termed _. By modifying the classic approach to incorporate liquidity of the asset, designated _', short-term return estimates may be improved. Specifically, in this research, the limit order book is used as a short-term proxy for liquidity assessments. Unfortunately, precise data were unavailable to test: however, detailed realistic examples are outlined in order to explore both rationale and critiques of the adjusted model. In light of the adjusted CAPM, modern market conditions, such as the rise in both high-frequency trading and alternative trading systems, are investigated to determine their impact on the model and asset pricing. Parallels can be drawn to appreciate these implementation obstacles under such information operation paradigms as denial, deception, and counterdeception. These topics, the protection of critical information from leakage, as well as the advancement and detection of deliberate misinformation, are increasingly critical for asset pricing. Furthermore, in response to these implementation obstacles, short-term asset pricing research is explored under both the efficient and adaptive market hypotheses. In conclusion...

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## THREE ESSAYS ON NYSE SPECIALIST STRATEGIES

Fonte: [Bloomington, Ind.] : Indiana University
Publicador: [Bloomington, Ind.] : Indiana University

Tipo: Doctoral Dissertation

Português

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#Execution Costs#NYSE Specialists#Dealer Trading#Market Makers#Posted Quotes#Limit Order Book#Economics, Finance#Economics, General

Thesis (PhD) - Indiana University, Economics, 2005; In our first essay, we investigate how the New York Stock Exchange (NYSE) specialists react to the changes in market variables while making participation decisions to the posted quotes by analyzing specialists' choices to undercut or add depth to the limit order book. We find that the primary factor that affects the participation strategy of the specialists in the current period is the changes in the best prices and depths on the limit order book. In addition, specialists participate to the posted quotes more for volatile or low volume stocks. The levels of specialists' participation in the posted quotes have predictive power over future stock returns. This predictive power is stronger for short-term returns.
In our second essay, we analyze trading strategies of the specialists conditional on their decisions to participate in the current posted quotes. We find that the specialists use limit order book asymmetry and cumulative order imbalance as two information sources about the true security value. If the relative size of the market order is high, specialists choose not to participate and let the market order trade with the limit order book. Consistent with the theoretical results in the previous literature...

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## Liquidity Provision in the Limit Order Book - Adverse Selection, Iceberg Orders and the Opening Auction; Liquiditätsangebot im Orderbuch - Adverse Selektion, Iceberg Orders und die Eröffnungsauktion

Fonte: Universität Tübingen
Publicador: Universität Tübingen

Tipo: Dissertation; info:eu-repo/semantics/doctoralThesis

Português

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#Deutsche Börse , Orderbuch , Adverse Selektion , Liquidität , Auktion , Xetra-Handelssystem , Börsenhandel#330#Limit Order Markets , Liquidity Supply , Adverse Selection , Hidden Liquidity , Iceberg Orders, Transparency , Auction

The dissertation highlights different topics of equity trading in limit order books using the example of Deutsche Boerse's electronic trading system XETRA. The first introductory chapter is a straight forward discussion of the profitability of exchange trading for both the exchange operator and the liquidity suppliers. It applies Harris and Hasbrouck(1996) for the continuous trading and extends it to the auction phase. The second chapter analyzes the impact of adverse selection on liquidity provision. It relaxes the the assumptions of Sandas(2001) empirical implementation of the theoretical model outlined in Glosten(1994) in two dimensions. Replacing the marginal profit conditions with average ones improves the empirical performance, whereas the nonparametric specification of the market order size does not. A cross sectional analysis corroborates the finding that adverse selection costs are more severe for smaller capitalized stocks.
Iceberg orders allow traders to submit hidden liquidity into the order book. The third chapter studies the interaction between hidden liquidity and overall liquidity provision. It provides evidence that iceberg orders can be detected using public information and that market participants follow state-dependent order submission strategies. At times of iceberg orders prevailing in the order book the marker order flow and price impact changes. After adjusting for those effects in the Glosten/Sandas framework the marginal compensation of liquidity provision changes. The fourth chapter changes the focus to the opening auction. It proposes an extension to Biais et al.(1999) to remove the market microstructure noise of the indicative price regression. The results show that the indicative price becomes informative about the true value at the very beginning of the call phase...

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## Efeito Combinado das Estratégias e do Limit Order Book num Mercado Artificial

Fonte: Instituto Superior de Economia e Gestão
Publicador: Instituto Superior de Economia e Gestão

Tipo: Dissertação de Mestrado

Publicado em /09/2011
Português

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#modelos baseados em agentes#limit order book#mercado artificial#agent-based models#limit order book#artificial market

Mestrado em Gestão de Sistemas de Informação; O desenvolvimento de modelos de sociedades artificiais tem tido um papel importante no estudo do comportamento dos mercados financeiros. Ainda que o recurso aos dados empíricos seja a prática mais comum das abordagens computacionais aplicadas àqueles mercados, tem-se assistido uma cada vez mais frequente utilização de ambientes artificiais, quer em complemento, quer em alternativa às abordagens empíricas. Ao longo dos últimos anos, a generalidade dos ambientes artificiais tem recorrido ao desenvolvimento de Modelos Baseado em Agentes (Agent-based models - ABM), o qual consiste num sistema computacional onde é possível reproduzir o comportamento das entidades intervenientes no fenómeno a estudar, e as interacções dessas entidades entre si e com o ambiente em que se encontram. A reprodução dos referidos comportamentos tem em vista a confirmação de hipóteses teóricas e experimentais que contribuam para explicar o fenómeno estudado. Em linhas gerais, o tema proposto para este Trabalho de Fim de Mestrado é a criação de um ABM com o objectivo de avaliar o efeito da participação conjunta de dois diferentes tipos de comportamento. O primeiro consiste na existência de um conjunto de estratégias dos agentes individuais. O segundo restringe-se a existência de um Limit Order Book...

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## Competition, signaling and non-walking through the book: Effects on order choice

Fonte: Elsevier
Publicador: Elsevier

Tipo: Artículo de revista

Português

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Artículo de publicación ISI; We investigate the effects of competition and signaling in a pure order driven market and examine the
trading patterns of agents when walking through the book is not allowed. Our results suggest that the
variables capturing the cost of a large market order are not informative for an impatient trader under this
market mechanism. We also document that the competition effect is not present only at the top of the
book but persistent beyond the best quotes. Moreover, it dominates the signaling effect for both a limit
order and a market order trader. Finally, we show that institutional investors’ order submission strategies
are characterized by only a few pieces of the limit order book information. This is consistent with
informed traders placing orders based on their own private valuations rather than the state of the book.

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

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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#Quantitative Finance - Statistical Finance#Quantitative Finance - Trading and Market Microstructure#Statistics - Applications

This paper poses a few fundamental questions regarding the attributes of the
volume profile of a Limit Order Books stochastic structure by taking into
consideration aspects of intraday and interday statistical features, the impact
of different exchange features and the impact of market participants in
different asset sectors. This paper aims to address the following questions:
1. Is there statistical evidence that heavy-tailed sub-exponential volume
profiles occur at different levels of the Limit Order Book on the bid and ask
and if so does this happen on intra or interday time scales ?
2.In futures exchanges, are heavy tail features exchange (CBOT, CME, EUREX,
SGX and COMEX) or asset class (government bonds, equities and precious metals)
dependent and do they happen on ultra-high (<1sec) or mid-range (1sec -10min)
high frequency data?
3.Does the presence of stochastic heavy-tailed volume profile features evolve
in a manner that would inform or be indicative of market participant behaviors,
such as high frequency algorithmic trading, quote stuffing and price discovery
intra-daily?
4. Is there statistical evidence for a need to consider dynamic behavior of
the parameters of models for Limit Order Book volume profiles on an intra-daily
time scale ?
Progress on aspects of each question is obtained via statistically rigorous
results to verify the empirical findings for an unprecedentedly large set of
futures market LOB data. The data comprises several exchanges...

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## Dynamics of Order Positions and Related Queues in a Limit Order Book

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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#Quantitative Finance - Trading and Market Microstructure#Quantitative Finance - Mathematical Finance

Order positions are key variables in algorithmic trading. This paper studies
the limiting behavior of order positions and related queues in a limit order
book. In addition to the fluid and diffusion limits for the processes,
fluctuations of order positions and related queues around their fluid limits
are analyzed. As a corollary, explicit analytical expressions for various
quantities of interests in a limit order book are derived.; Comment: 42 pages, 2 figures

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## Stochastic Price Dynamics Implied By the Limit Order Book

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 24/05/2011
Português

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#Quantitative Finance - Trading and Market Microstructure#Quantitative Finance - Statistical Finance

In this paper we present a novel approach to the determination of fat tails
in financial data by studying the information contained in the limit order
book. In an order-driven market buyers and sellers may submit limit orders,
which are executed when the price touches a pre-specified lower, respectively
higher, limit-price. We show that, in equilibrium, the collection of all such
orders - the limit order book - implies a volatility smile, similar to
observations from option pricing in the Black-Scholes model. We also show how a
jump-diffusion process can be explicitly inferred to account for the volatility
smile.; Comment: Limit order book, limit orders, volatility smile, jump process,
double-exponential jump process, impatience rate, jump diffusion

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## Price Jump Prediction in Limit Order Book

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 05/04/2012
Português

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A limit order book provides information on available limit order prices and
their volumes. Based on these quantities, we give an empirical result on the
relationship between the bid-ask liquidity balance and trade sign and we show
that liquidity balance on best bid/best ask is quite informative for predicting
the future market order's direction. Moreover, we define price jump as a sell
(buy) market order arrival which is executed at a price which is smaller
(larger) than the best bid (best ask) price at the moment just after the
precedent market order arrival. Features are then extracted related to limit
order volumes, limit order price gaps, market order information and limit order
event information. Logistic regression is applied to predict the price jump
from the limit order book's feature. LASSO logistic regression is introduced to
help us make variable selection from which we are capable to highlight the
importance of different features in predicting the future price jump. In order
to get rid of the intraday data seasonality, the analysis is based on two
separated datasets: morning dataset and afternoon dataset. Based on an analysis
on forty largest French stocks of CAC40, we find that trade sign and market
order size as well as the liquidity on the best bid (best ask) are consistently
informative for predicting the incoming price jump.; Comment: 16 pages

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## A Multi Agent Model for the Limit Order Book Dynamics

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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#Quantitative Finance - Trading and Market Microstructure#Quantitative Finance - Computational Finance#Quantitative Finance - Statistical Finance

In the present work we introduce a novel multi-agent model with the aim to
reproduce the dynamics of a double auction market at microscopic time scale
through a faithful simulation of the matching mechanics in the limit order
book. The agents follow a noise decision making process where their actions are
related to a stochastic variable, "the market sentiment", which we define as a
mixture of public and private information. The model, despite making just few
basic assumptions over the trading strategies of the agents, is able to
reproduce several empirical features of the high-frequency dynamics of the
market microstructure not only related to the price movements but also to the
deposition of the orders in the book.; Comment: 20 pages, 11 figures, in press European Physical Journal B (EPJB)

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## Strategic liquidity provision in a limit order book

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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We perform an empirical analysis of how trades influence liquidity in a limit
order book (LOB). Using a recent, high-quality data set from Nasdaq, we
calculate the mean net flow of limit orders before and after the arrival of a
market order. We find strong evidence to suggest that liquidity providers
dynamically adapt their limit order flow to the arrivals of market orders. By
examining the temporal evolution of this net order flow, we argue that
strategic liquidity providers consider both adverse selection and expected
waiting costs when deciding how to act. We also note that our results could be
consistent with an alternative hypothesis: that liquidity providers
successfully forecast market order arrivals before they actually occur.

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## Scaling limit of a limit order book model via the regenerative characterization of L\'evy trees

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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We consider the following Markovian dynamic on point processes: at constant
rate and with equal probability, either the rightmost atom of the current
configuration is removed, or a new atom is added at a random distance from the
rightmost atom. Interpreting atoms as limit buy orders, this process was
introduced by Lakner et al. [preprint] to model a one-sided limit order book.
We consider this model in the regime where the total number of orders converges
to a reflected Brownian motion, and complement the results of Lakner et al. by
showing that, in the case where the mean displacement at which a new order is
added is positive, the measure-valued process describing the whole limit order
book converges to a simple functional of this reflected Brownian motion.
The cornerstone of our approach is the regenerative characterization of
L\'evy trees proved in Weill [Ann. Prob. 2007], which provides an elegant and
intuitive proof strategy which we unfold. Moreover, the proofs rely on new
results of independent interest on branching random walks with a barrier.; Comment: Introduction expanded; paper re-organized and minor textual changes

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## Studies of the limit order book around large price changes

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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We study the dynamics of the limit order book of liquid stocks after
experiencing large intra-day price changes. In the data we find large
variations in several microscopical measures, e.g., the volatility the bid-ask
spread, the bid-ask imbalance, the number of queuing limit orders, the activity
(number and volume) of limit orders placed and canceled, etc. The relaxation of
the quantities is generally very slow that can be described by a power law of
exponent $\approx0.4$. We introduce a numerical model in order to understand
the empirical results better. We find that with a zero intelligence deposition
model of the order flow the empirical results can be reproduced qualitatively.
This suggests that the slow relaxations might not be results of agents'
strategic behaviour. Studying the difference between the exponents found
empirically and numerically helps us to better identify the role of strategic
behaviour in the phenomena.; Comment: 19 pages, 7 figures

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## Trade arrival dynamics and quote imbalance in a limit order book

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 02/12/2013
Português

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We examine the dynamics of the bid and ask queues of a limit order book and
their relationship with the intensity of trade arrivals. In particular, we
study the probability of price movements and trade arrivals as a function of
the quote imbalance at the top of the limit order book. We propose a stochastic
model in an attempt to capture the joint dynamics of the top of the book queues
and the trading process, and describe a semi-analytic approach to calculate the
relative probability of market events. We calibrate the model using historical
market data and discuss the quality of fit and practical applications of the
results.; Comment: 15 pages, 7 figures

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## Stochastic simulation framework for the Limit Order Book using liquidity motivated agents

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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In this paper we develop a new form of agent-based model for limit order
books based on heterogeneous trading agents, whose motivations are liquidity
driven. These agents are abstractions of real market participants, expressed in
a stochastic model framework. We develop an efficient way to perform
statistical calibration of the model parameters on Level 2 limit order book
data from Chi-X, based on a combination of indirect inference and
multi-objective optimisation. We then demonstrate how such an agent-based
modelling framework can be of use in testing exchange regulations, as well as
informing brokerage decisions and other trading based scenarios.

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## A weak law of large numbers for a limit order book model with fully state dependent order dynamics

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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#Quantitative Finance - Mathematical Finance#Mathematics - Probability#Quantitative Finance - Trading and Market Microstructure#60F05, 90B22, 91B70

This paper studies a one-sided limit order book (LOB) model, in which the
order dynamics depend on both, the current best bid price and the current
volume density function. For the joint dynamics of the best bid price and the
standing buy volume density we derive a weak law of large numbers, which states
that the LOB model converges to a continuous-time limit when the size of an
individual order as well as the tick size tend to zero and the order arrival
rate tends to infinity. In the scaling limit the standing buy volume density
follows a non-linear PDE coupled with a non-linear ODE that describes the best
bid price.; Comment: References updated

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## A Markov model of a limit order book: thresholds, recurrence, and trading strategies

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 02/04/2015
Português

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#Quantitative Finance - Trading and Market Microstructure#Mathematics - Probability#Primary: 60K30, secondary: 91G80

We formulate an analytically tractable model of a limit order book on short
time scales, where the dynamics are driven by stochastic fluctuations between
supply and demand, and order cancellation is not a prominent feature. We
establish the existence of a limiting distribution for the highest bid, and for
the lowest ask, where the limiting distributions are confined between two
thresholds. We make extensive use of fluid limits in order to establish
recurrence properties of the model. We use our model to analyze various
high-frequency trading strategies, and comment on the Nash equilibria that
emerge between high-frequency traders when a market in continuous time is
replaced by frequent batch auctions.; Comment: A significantly expanded version of arXiv:1205.7017

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## Collaborating queues: large service network and a limit order book

Fonte: University of Cambridge; Department of Pure Mathematics and Mathematical Statistics; Emmanuel College; Statistics Laboratory
Publicador: University of Cambridge; Department of Pure Mathematics and Mathematical Statistics; Emmanuel College; Statistics Laboratory

Tipo: Thesis; doctoral; PhD

Português

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E-thesis pagination differs from hardbound copy kept in the Manuscripts Department, Cambridge University Library.; We analyse the steady-state behaviour of two different models with collaborating queues: that is, models in which "customers" can be served by many types of "servers", and "servers" can process many types of "customers".
The first example is a large-scale service system, such as a call centre. Collaboration
is the result of cross-trained staff attending to several different types of incoming calls. We first examine a load-balancing policy, which aims to keep servers in different pools equally busy. Although the policy behaves order-optimally over fixed time horizons, we show that the steady-state distribution may fail to be tight on the diffusion scale. That is, in a family of ever-larger networks whose arrival rates grow as O(r) (where r is a scaling parameter growing to infinity), the sequence of steady-state deviations from equilibrium scaled down by sqrt(r) is not tight. We then propose a different policy, for which we show that the sequence of invariant distributions is tight on the r^(1/2+epsilon) scale, for any epsilon > 0. For this policy we conjecture that tightness holds on the diffusion scale as well.
The second example models a limit order book...

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