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Liquidity and Information in Order Driven markets

Author

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  • Ioanid Rosu

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique)

Abstract

No abstract is available for this item.

Suggested Citation

  • Ioanid Rosu, 2010. "Liquidity and Information in Order Driven markets," Post-Print hal-00543547, HAL.
    • Handle: RePEc:hal:journl:hal-00543547
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    Citations

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    Cited by:

    1. Hautsch, Nikolaus & Huang, Ruihong, 2012. "The market impact of a limit order," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 501-522.
    2. Alessio Emanuele Biondo, 2020. "Information versus imitation in a real-time agent-based model of financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 613-631, July.
    3. Biondo, Alessio Emanuele, 2017. "Learning to forecast, risk aversion, and microstructural aspects of financial stability," Economics Discussion Papers 2017-104, Kiel Institute for the World Economy (IfW Kiel).
    4. Dugast, J., 2013. "Limited attention and news arrival in limit order markets," Working papers 449, Banque de France.
    5. Zihao Zhang & Stefan Zohren & Stephen Roberts, 2018. "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books," Papers 1808.03668, arXiv.org, revised Jan 2020.
    6. Aiusha Sangadiev & Rodrigo Rivera-Castro & Kirill Stepanov & Andrey Poddubny & Kirill Bubenchikov & Nikita Bekezin & Polina Pilyugina & Evgeny Burnaev, 2020. "DeepFolio: Convolutional Neural Networks for Portfolios with Limit Order Book Data," Papers 2008.12152, arXiv.org.
    7. Ingrid Lo & Stephen Sapp, 2011. "Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market," Staff Working Papers 11-8, Bank of Canada.
    8. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
    9. Alberto Ciacci & Takumi Sueshige & Hideki Takayasu & Kim Christensen & Misako Takayasu, 2020. "The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets," PLOS ONE, Public Library of Science, vol. 15(6), pages 1-19, June.
    10. Kozhan, Roman & Salmon, Mark, 2012. "The information content of a limit order book: The case of an FX market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 1-28.
    11. Yosra Mefteh Rekik & Younes Boujelbene, 2015. "Price Dynamics and Market Volatility: Behavioral Heterogeneity under Switching Trading Strategies on Artificial Financial Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(2), pages 33-43, April.
    12. Yiqi Liu & Qiang Liu & Zhi Liu & Deng Ding, 2017. "Determining the integrated volatility via limit order books with multiple records," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1697-1714, November.

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