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Trade arrival dynamics and quote imbalance in a limit order book

Citations

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Cited by:

  1. Eduardo Abi Jaber & Eyal Neuman, 2025. "Optimal Liquidation with Signals: the General Propagator Case," Post-Print hal-03835948, HAL.
  2. P. B. Lerner, 2020. "Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010," Papers 2004.06200, arXiv.org, revised May 2020.
  3. Ioane Muni Toke & Nakahiro Yoshida, 2019. "Analyzing order flows in limit order books with ratios of Cox-type intensities," Working Papers hal-01799398, HAL.
  4. Claudio Bellani & Damiano Brigo & Alex Done & Eyal Neuman, 2018. "Static vs Adaptive Strategies for Optimal Execution with Signals," Papers 1811.11265, arXiv.org, revised Jul 2019.
  5. Jakob Albers & Mihai Cucuringu & Sam Howison & Alexander Y. Shestopaloff, 2025. "To Make, or to Take, That Is the Question: Impact of LOB Mechanics on Natural Trading Strategies," Papers 2502.18625, arXiv.org.
  6. Eyal Neuman & Yufei Zhang, 2023. "Statistical Learning with Sublinear Regret of Propagator Models," Papers 2301.05157, arXiv.org, revised Jan 2025.
  7. Emmanouil Sfendourakis & Ioane Muni Toke, 2021. "LOB modeling using Hawkes processes with a state-dependent factor," Papers 2107.12872, arXiv.org, revised Dec 2021.
  8. Álvaro Cartea & Sebastian Jaimungal & Damir Kinzebulatov, 2016. "Algorithmic Trading With Learning," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-30, June.
  9. Charles-Albert Lehalle & Eyal Neuman, 2019. "Incorporating signals into optimal trading," Finance and Stochastics, Springer, vol. 23(2), pages 275-311, April.
  10. Panayi, Efstathios & Peters, Gareth W. & Danielsson, Jon & Zigrand, Jean-Pierre, 2018. "Designating market maker behaviour in limit order book markets," Econometrics and Statistics, Elsevier, vol. 5(C), pages 20-44.
  11. Kyle Bechler & Michael Ludkovski, 2017. "Order Flows and Limit Order Book Resiliency on the Meso-Scale," Papers 1708.02715, arXiv.org.
  12. Peter B. Lerner, 2022. "Fourier Integral Operator Model of Market Liquidity: The Chinese Experience 2009–2010," Mathematics, MDPI, vol. 10(14), pages 1-25, July.
  13. Alessandro Micheli & Johannes Muhle-Karbe & Eyal Neuman, 2021. "Closed-Loop Nash Competition for Liquidity," Papers 2112.02961, arXiv.org, revised Jun 2023.
  14. Ioane Muni Toke & Nakahiro Yoshida, 2020. "Analyzing order flows in limit order books with ratios of Cox-type intensities," Post-Print hal-01799398, HAL.
  15. Zhicheng Li & Haipeng Xing & Xinyun Chen, 2019. "A multifactor regime-switching model for inter-trade durations in the limit order market," Papers 1912.00764, arXiv.org.
  16. Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023. "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, vol. 118(C).
  17. Zihao Zhang & Stefan Zohren & Stephen Roberts, 2018. "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books," Papers 1808.03668, arXiv.org, revised Jan 2020.
  18. Eduardo Abi Jaber & Eyal Neuman, 2022. "Optimal Liquidation with Signals: the General Propagator Case," Working Papers hal-03835948, HAL.
  19. Eduardo Abi Jaber & Eyal Neuman, 2022. "Optimal Liquidation with Signals: the General Propagator Case," Papers 2211.00447, arXiv.org.
  20. Xuan Tao & Andrew Day & Lan Ling & Samuel Drapeau, 2020. "On Detecting Spoofing Strategies in High Frequency Trading," Papers 2009.14818, arXiv.org, revised Dec 2020.
  21. Hadrien De March & Charles-Albert Lehalle, 2018. "Optimal trading using signals," Papers 1811.03718, arXiv.org.
  22. Ioane Muni Toke & Nakahiro Yoshida, 2020. "Marked point processes and intensity ratios for limit order book modeling," Papers 2001.08442, arXiv.org.
  23. Ioane Muni Toke & Nakahiro Yoshida, 2022. "Marked point processes and intensity ratios for limit order book modeling," Post-Print hal-02465428, HAL.
  24. Charles-Albert Lehalle & Othmane Mounjid, 2016. "Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency," Papers 1610.00261, arXiv.org, revised Mar 2018.
  25. Eyal Neuman & Moritz Vo{ss}, 2020. "Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact," Papers 2002.09549, arXiv.org, revised Jan 2022.
  26. Ioane Muni Toke & Nakahiro Yoshida, 2018. "Analyzing order flows in limit order books with ratios of Cox-type intensities," Papers 1805.06682, arXiv.org, revised Aug 2019.
  27. Alessandro Micheli & Johannes Muhle‐Karbe & Eyal Neuman, 2023. "Closed‐loop Nash competition for liquidity," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1082-1118, October.
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