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Enhancing trading strategies with order book signals

Citations

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Cited by:

  1. Masamitsu Ohnishi & Makoto Shimoshimizu, 2024. "Trade execution games in a Markovian environment," Papers 2405.07184, arXiv.org.
  2. Haochen Li & Yi Cao & Maria Polukarov & Carmine Ventre, 2023. "An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics," Papers 2308.14235, arXiv.org, revised Jun 2024.
  3. 'Alvaro Cartea & Fayc{c}al Drissi & Marcello Monga, 2023. "Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision," Papers 2309.08431, arXiv.org, revised Jun 2024.
  4. Henry Hanifan & Ben Watson & John Cartlidge & Dave Cliff, 2021. "Time Matters: Exploring the Effects of Urgency and Reaction Speed in Automated Traders," Papers 2103.00600, arXiv.org.
  5. Cartea, Álvaro & Drissi, Fayçal & Monga, Marcello, 2025. "Decentralised finance and automated market making: Execution and speculation," Journal of Economic Dynamics and Control, Elsevier, vol. 177(C).
  6. Rama Cont & Marvin S. Mueller, 2019. "A stochastic partial differential equation model for limit order book dynamics," Papers 1904.03058, arXiv.org, revised May 2021.
  7. Luca Lalor & Anatoliy Swishchuk, 2024. "Reinforcement Learning in Non-Markov Market-Making," Papers 2410.14504, arXiv.org, revised Nov 2024.
  8. Jakob Albers & Mihai Cucuringu & Sam Howison & Alexander Y. Shestopaloff, 2025. "The Market Maker's Dilemma: Navigating the Fill Probability vs. Post-Fill Returns Trade-Off," Papers 2502.18625, arXiv.org, revised Nov 2025.
  9. Luca Lalor & Anatoliy Swishchuk, 2025. "Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making," Papers 2502.17417, arXiv.org.
  10. Alvaro Arroyo & Alvaro Cartea & Fernando Moreno-Pino & Stefan Zohren, 2023. "Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers," Papers 2306.05479, arXiv.org.
  11. 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.
  12. Bastien Baldacci & Philippe Bergault & Dylan Possamai, 2022. "A mean-field game of market-making against strategic traders," Papers 2203.13053, arXiv.org.
  13. Antonio Briola & Silvia Bartolucci & Tomaso Aste, 2024. "Deep Limit Order Book Forecasting," Papers 2403.09267, arXiv.org, revised Jun 2024.
  14. Briola, Antonio & Bartolucci, Silvia & Aste, Tomaso, 2025. "Deep limit order book forecasting: a microstructural guide," LSE Research Online Documents on Economics 128950, London School of Economics and Political Science, LSE Library.
  15. Bastien Baldacci & Joffrey Derchu & Iuliia Manziuk, 2020. "An approximate solution for options market-making in high dimension," Papers 2009.00907, arXiv.org.
  16. Rama Cont & Marvin Muller, 2019. "A Stochastic Pde Model For Limit Order Book Dynamics," Working Papers hal-02090449, HAL.
  17. Cong Zheng & Jiafa He & Can Yang, 2023. "Optimal Execution Using Reinforcement Learning," Papers 2306.17178, arXiv.org.
  18. Joseph Jerome & Gregory Palmer & Rahul Savani, 2022. "Market Making with Scaled Beta Policies," Papers 2207.03352, arXiv.org, revised Sep 2022.
  19. Mahmut Bağcı & Pınar Kaya Soylu & Selçuk Kıran, 2024. "The Symmetric and Asymmetric Algorithmic Trading Strategies for the Stablecoins," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 2663-2684, November.
  20. Gao, Xuefeng & Xu, Tianrun, 2022. "Order scoring, bandit learning and order cancellations," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
  21. Luca Lalor & Anatoliy Swishchuk, 2024. "Market Simulation under Adverse Selection," Papers 2409.12721, arXiv.org, revised Mar 2025.
  22. Ryan Donnelly & Zi Li, 2025. "Liquidity Competition Between Brokers and an Informed Trader," Papers 2503.08287, arXiv.org, revised Nov 2025.
  23. 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.
  24. Luca Lalor & Anatoliy Swishchuk, 2024. "Algorithmic and High-Frequency Trading Problems for Semi-Markov and Hawkes Jump-Diffusion Models," Papers 2409.12776, arXiv.org, revised Mar 2025.
  25. 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).
  26. Zijian Shi & John Cartlidge, 2024. "Neural stochastic agent‐based limit order book simulation with neural point process and diffusion probabilistic model," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 31(2), June.
  27. Claudio Bellani & Damiano Brigo & Mikko Pakkanen & Leandro Sanchez-Betancourt, 2021. "Non-average price impact in order-driven markets," Papers 2110.00771, arXiv.org, revised Jan 2022.
  28. 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.
  29. Qingyuan Han, 2025. "Understanding price momentum, market fluctuations, and crashes: insights from the extended Samuelson model," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-37, December.
  30. Carè, Rosella & Cumming, Douglas, 2024. "Technology and automation in financial trading: A bibliometric review," Research in International Business and Finance, Elsevier, vol. 71(C).
  31. Philippe Bergault & Olivier Gu'eant, 2023. "Liquidity Dynamics in RFQ Markets and Impact on Pricing," Papers 2309.04216, arXiv.org, revised Jun 2024.
  32. 'Alvaro Cartea & Fayc{c}al Drissi & Marcello Monga, 2023. "Decentralised Finance and Automated Market Making: Execution and Speculation," Papers 2307.03499, arXiv.org, revised Jun 2025.
  33. Marcello Monga, 2024. "Automated Market Making and Decentralized Finance," Papers 2407.16885, arXiv.org.
  34. Chu, Gang & Zhang, Yongjie & Zhang, Xiaotao, 2021. "An analysis of impact of cancellation activity on market quality: Evidence from China," Economic Modelling, Elsevier, vol. 102(C).
  35. Joseph Jerome & Leandro Sanchez-Betancourt & Rahul Savani & Martin Herdegen, 2022. "Model-based gym environments for limit order book trading," Papers 2209.07823, arXiv.org.
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