Pages that link to "Item:Q2873559"

The following pages link to The price impact of order book events: market orders, limit orders and cancellations (Q2873559):

Displaying 40 items.

• Dynamic optimal execution in a mixed-market-impact Hawkes price model (Q261925) (← links)
• The market impact of a limit order (Q433360) (← links)
• Optimal trading of algorithmic orders in a liquidity fragmented market place (Q492830) (← links)
• On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach (Q825354) (← links)
• Studies of the limit order book around large price changes (Q977768) (← links)
• Why is equity order flow so persistent? (Q1623998) (← links)
• Order scoring, bandit learning and order cancellations (Q2115951) (← links)
• A continuous and efficient fundamental price on the discrete order book grid (Q2149276) (← links)
• Marked point processes and intensity ratios for limit order book modeling (Q2166017) (← links)
• Optimal pair-trade execution with generalized cross-impact (Q2172552) (← links)
• Theoretical and empirical analysis of trading activity (Q2189447) (← links)
• The effects of trade size and market depth on immediate price impact in a limit order book market (Q2246738) (← links)
• Limit order books (Q2871425) (← links)
• Modeling the coupled return-spread high frequency dynamics of large tick assets (Q3302105) (← links)
• Apparent impact: the hidden cost of one-shot trades (Q3302298) (← links)
• Nonlinear price impact from linear models (Q3302935) (← links)
• Long-Time Behavior of a Hawkes Process--Based Limit Order Book (Q3456836) (← links)
• Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (Q4554209) (← links)
• Analysis of order book flows using a non-parametric estimation of the branching ratio matrix (Q4554417) (← links)
• High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (Q4554421) (← links)
• Linear models for the impact of order flow on prices. I. History dependent impact models (Q4554471) (← links)
• Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model (Q4554472) (← links)
• The role of volume in order book dynamics: a multivariate Hawkes process analysis (Q4555121) (← links)
• Determining the integrated volatility via limit order books with multiple records (Q4555173) (← links)
• Performance-weighted ensembles of random forests for predicting price impact (Q4619486) (← links)
• Cross-impact and no-dynamic-arbitrage (Q4628040) (← links)
• Market impact as anticipation of the order flow imbalance (Q4683068) (← links)
• Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders (Q4683095) (← links)
• Liquidity fluctuations and the latent dynamics of price impact (Q5068077) (← links)
• Transaction cost analytics for corporate bonds (Q5092645) (← links)
• Volatility modeling and prediction: the role of price impact (Q5120732) (← links)
• Optimal market making in the presence of latency (Q5139247) (← links)
• DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS (Q5157841) (← links)
• Deep learning for limit order books (Q5234311) (← links)
• Encoding of high-frequency order information and prediction of short-term stock price by deep learning (Q5234374) (← links)
• Optimal portfolio execution under time-varying liquidity constraints (Q5373911) (← links)
• From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution (Q6158406) (← links)
• Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book (Q6187364) (← links)
• A machine learning approach to classification for traders in financial markets (Q6543896) (← links)
• Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets (Q6592282) (← links)