Search results for " order book"

showing 3 items of 3 documents

The adaptive nature of liquidity taking in limit order books

2014

In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling the persistence of the order flow with market efficiency is a subtle issue. A possible solution is provided by asymmetric liquidity, which states that the impact of a buy or sell order is inversely related to the probability of its occurrence. We empirically find that when the order flow predictability increases in one direction, the liquidity in the opposite side decreases, but the probability that a trade moves the price decreases significantly. While the…

Statistics and ProbabilityQuantitative Finance - Trading and Market MicrostructureStatistical Finance (q-fin.ST)Limit order book econophysics market efficiencyfinancial instruments and regulationAutocorrelationFinancial marketQuantitative Finance - Statistical FinanceStatistical and Nonlinear PhysicsProbability and statisticsTrading and Market Microstructure (q-fin.TR)Market liquidityFOS: Economics and businessFlow (mathematics)Order (exchange)risk measure and managementOrder bookEconomicsEconometricsmodels of financial marketStatistics Probability and UncertaintyPredictabilityStatistical and Nonlinear Physic
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Statistical validation of investment decisions and transactions in financial markets

statistical validation network science behavioral finance order book speculative bubbles
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High frequency data entry: statistical findings at high frequency

2010

We introduce some of the most common types of high-frequency financial data: tick-by-tick data, trade andquote data, order bookdata, andmarket member data. We describe the types of variables that are usually available in the most popular high-frequency financial databases. We discuss the issues related to the handling of these data, including cleaning protocols, timing issues, and issues related to data size. We then briefly consider the issues related to the stylized facts detected in the empirical analysis of high- frequency data. Specifically, we consider (i) the irregular temporal spacing of the events at high frequency and its relevance for the econometric modeling of financial variables, (…

financial markets high-frequency data data analysis tick-by-tick data order bookdata market microstructure econophysicsSettore FIS/07 - Fisica Applicata(Beni Culturali Ambientali Biol.e Medicin)
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