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The price impact of order book events: market orders, limit orders and cancellations

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Cited by:

  1. 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.
  2. Ioane Muni Toke & Fabrizio Pomponio, 2012. "Modelling Trades-Through in a Limit Order Book Using Hawkes Processes," Post-Print hal-00745554, HAL.
  3. Nico Achtsis & Dirk Nuyens, 2013. "A Monte Carlo method for optimal portfolio executions," Papers 1312.5919, arXiv.org.
  4. Anastasia Bugaenko, 2020. "Empirical Study of Market Impact Conditional on Order-Flow Imbalance," Papers 2004.08290, arXiv.org, revised Apr 2020.
  5. Xiaofei Lu & Frédéric Abergel, 2017. "Limit order book modelling with high dimensional Hawkes processes," Working Papers hal-01512430, HAL.
  6. Mehdi Arzandeh & Julieta Frank, 2019. "Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid-Ask Spread?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 101(5), pages 1482-1498.
  7. Filip Stanek & Jiri Kukacka, 2018. "The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 865-892, April.
  8. Iacopo Mastromatteo, 2014. "Apparent impact: the hidden cost of one-shot trades," Papers 1409.8497, arXiv.org, revised Jun 2015.
  9. Ash Booth & Enrico Gerding & Frank McGroarty, 2015. "Performance-weighted ensembles of random forests for predicting price impact," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1823-1835, November.
  10. Timoth'ee Fabre & Vincent Ragel, 2023. "Interpretable ML for High-Frequency Execution," Papers 2307.04863, arXiv.org, revised Sep 2024.
  11. Damian Eduardo Taranto & Giacomo Bormetti & Fabrizio Lillo, 2014. "The adaptive nature of liquidity taking in limit order books," Papers 1403.0842, arXiv.org, revised Apr 2014.
  12. Easley, David & de Prado, Marcos Lopez & O'Hara, Maureen, 2016. "Discerning information from trade data," Journal of Financial Economics, Elsevier, vol. 120(2), pages 269-285.
  13. Härdle, Wolfgang Karl & Chen, Shi & Liang, Chong & Schienle, Melanie, 2018. "Time-varying Limit Order Book Networks," IRTG 1792 Discussion Papers 2018-016, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  14. Iacopo Mastromatteo & Bence Toth & Jean-Philippe Bouchaud, 2013. "Agent-based models for latent liquidity and concave price impact," Papers 1311.6262, arXiv.org, revised Dec 2014.
  15. Toke, Ioane Muni & Pomponio, Fabrizio, 2012. "Modelling trades-through in a limit order book using hawkes processes," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-23.
  16. Sun, Xiao-Qian & Shen, Hua-Wei & Cheng, Xue-Qi & Zhang, Yuqing, 2017. "Detecting anomalous traders using multi-slice network analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 1-9.
  17. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Finance and Stochastics, Springer, vol. 20(1), pages 183-218, January.
  18. Xuefeng Gao & Yunhan Wang, 2018. "Optimal Market Making in the Presence of Latency," Papers 1806.05849, arXiv.org, revised Mar 2020.
  19. Mark Marner-Hausen, 2022. "Developing a Framework for Real-Time Trading in a Laboratory Financial Market," ECONtribute Discussion Papers Series 172, University of Bonn and University of Cologne, Germany.
  20. Aur'elien Alfonsi & Pierre Blanc, 2014. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Papers 1404.0648, arXiv.org, revised Jun 2015.
  21. Ioane Muni Toke & Nakahiro Yoshida, 2020. "Marked point processes and intensity ratios for limit order book modeling," Papers 2001.08442, arXiv.org.
  22. Damian Kisiel & Denise Gorse, 2022. "Axial-LOB: High-Frequency Trading with Axial Attention," Papers 2212.01807, 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. M. Schneider & F. Lillo, 2019. "Cross-impact and no-dynamic-arbitrage," Quantitative Finance, Taylor & Francis Journals, vol. 19(1), pages 137-154, January.
  25. Chen, Shi & Härdle, Wolfgang & Schienle, Melanie, 2021. "High-dimensional statistical learning techniques for time-varying limit order book networks," IRTG 1792 Discussion Papers 2021-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  26. Xiaofei Lu & Frédéric Abergel, 2018. "High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration," Post-Print hal-01686122, HAL.
  27. Hyoeun Lee & Kiseop Lee, 2020. "Optimal execution with liquidity risk in a diffusive order book market," Papers 2004.10951, arXiv.org.
  28. Antonio Briola & Silvia Bartolucci & Tomaso Aste, 2024. "Deep Limit Order Book Forecasting," Papers 2403.09267, arXiv.org, revised Jun 2024.
  29. Massil Achab & Emmanuel Bacry & Jean-Franc{c}ois Muzy & Marcello Rambaldi, 2017. "Analysis of order book flows using a nonparametric estimation of the branching ratio matrix," Papers 1706.03411, arXiv.org.
  30. Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Toth, 2016. "Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact," Papers 1602.02735, arXiv.org.
  31. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
  32. Antonio Figueiredo & Pankaj Jain & Suchismita Mishra, 2023. "The role of fleeting orders on option expiration days," Quantitative Finance, Taylor & Francis Journals, vol. 23(10), pages 1511-1529, October.
  33. Emmanuel Bacry & Thibault Jaisson & Jean-Francois Muzy, 2014. "Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling," Papers 1412.7096, arXiv.org.
  34. Marcello Rambaldi & Emmanuel Bacry & Fabrizio Lillo, 2016. "The role of volume in order book dynamics: a multivariate Hawkes process analysis," Papers 1602.07663, arXiv.org.
  35. István Barra & Agnieszka Borowska & Siem Jan Koopman, 2018. "Bayesian Dynamic Modeling of High-Frequency Integer Price Changes," Journal of Financial Econometrics, Oxford University Press, vol. 16(3), pages 384-424.
  36. Jonathan A. Chávez Casillas, 2024. "A Time-Dependent Markovian Model of a Limit Order Book," Computational Economics, Springer;Society for Computational Economics, vol. 63(2), pages 679-709, February.
  37. Mehdi Arzandeh & Julieta Frank, 2019. "Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid‐Ask Spread?," American Journal of Agricultural Economics, John Wiley & Sons, vol. 101(5), pages 1482-1498, October.
  38. Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Toth, 2016. "Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model," Papers 1604.07556, arXiv.org.
  39. A. Gareche & G. Disdier & J. Kockelkoren & J. -P. Bouchaud, 2013. "A Fokker-Planck description for the queue dynamics of large tick stocks," Papers 1304.6819, arXiv.org.
  40. Justin Sirignano & Rama Cont, 2018. "Universal features of price formation in financial markets: perspectives from Deep Learning," Papers 1803.06917, arXiv.org.
  41. Fabrizio Lillo, 2021. "Order flow and price formation," Papers 2105.00521, arXiv.org.
  42. 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.
  43. Vincent Ragel & Damien Challet, 2024. "Data time travel and consistent market making: taming reinforcement learning in multi-agent systems with anonymous data," Papers 2408.02322, arXiv.org.
  44. Federico Gonzalez & Mark Schervish, 2017. "Instantaneous order impact and high-frequency strategy optimization in limit order books," Papers 1707.01167, arXiv.org, revised Oct 2017.
  45. Thibault Jaisson, 2015. "Liquidity and Impact in Fair Markets," Papers 1506.02507, arXiv.org.
  46. Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2015. "Simulating and Analyzing Order Book Data: The Queue-Reactive Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 107-122, March.
  47. Gao, Xuefeng & Xu, Tianrun, 2022. "Order scoring, bandit learning and order cancellations," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
  48. Ke Xu & Martin D. Gould & Sam D. Howison, 2019. "Multi-Level Order-Flow Imbalance in a Limit Order Book," Papers 1907.06230, arXiv.org, revised Oct 2019.
  49. Julius Bonart & Fabrizio Lillo, 2016. "A continuous and efficient fundamental price on the discrete order book grid," Papers 1608.00756, arXiv.org, revised Aug 2016.
  50. José Da Fonseca & Riadh Zaatour, 2017. "Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(3), pages 260-285, March.
  51. Bonart, Julius & Lillo, Fabrizio, 2018. "A continuous and efficient fundamental price on the discrete order book grid," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 698-713.
  52. Justin Sirignano, 2016. "Deep Learning for Limit Order Books," Papers 1601.01987, arXiv.org, revised Jul 2016.
  53. Hadrien De March & Charles-Albert Lehalle, 2018. "Optimal trading using signals," Papers 1811.03718, arXiv.org.
  54. Gianbiagio Curato & Fabrizio Lillo, 2013. "Modeling the coupled return-spread high frequency dynamics of large tick assets," Papers 1310.4539, arXiv.org.
  55. Arzandeh, Mehdi & Frank, Julieta, 2017. "The Information Content of the Limit Order Book," 7th Annual Canadian Agri-Food Policy Conference, January 11-13, 2017, Ottawa, ON 253251, Canadian Agricultural Economics Society.
  56. Shunya Chomei, 2023. "Empirical analysis in limit order book modeling for Nikkei 225 Stocks with Cox-type intensities," Papers 2302.01668, arXiv.org, revised Feb 2023.
  57. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
  58. Mircea BAHNA & Cosmin-Octavian CEPOI & Bogdan Andrei DUMITRESCU & Virgil DAMIAN, 2018. "Estimating the Price Impact of Market Orders on the Bucharest Stock Exchange," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 120-133, December.
  59. 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.
  60. Jonathan A. Ch'avez-Casillas, 2023. "A time-dependent Markovian model of a limit order book," Papers 2302.00846, arXiv.org.
  61. Justin Sirignano & Rama Cont, 2018. "Universal features of price formation in financial markets: perspectives from Deep Learning," Working Papers hal-01754054, HAL.
  62. Arzandeh, Mehdi & Frank, Julieta, 2017. "Price Discovery in Agricultural Futures Markets: Should We Look Beyond the Best Bid-Ask Spread?," Annual Meeting, 2017, June 18-21, Montreal, Canada 259344, Canadian Agricultural Economics Society.
  63. Kyle Bechler & Michael Ludkovski, 2017. "Order Flows and Limit Order Book Resiliency on the Meso-Scale," Papers 1708.02715, arXiv.org.
  64. Acheson, Graeme G. & Coyle, Christopher & Turner, John D., 2018. "Prices and informed trading: Evidence from an early stock market," QUCEH Working Paper Series 2018-05, Queen's University Belfast, Queen's University Centre for Economic History.
  65. Nikolsko-Rzhevska, Olena & Nikolsko-Rzhevskyy, Alex & Black, Jeffrey R., 2020. "The life of U’s: Order revisions on NASDAQ," Journal of Banking & Finance, Elsevier, vol. 111(C).
  66. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Finance and Stochastics, Springer, vol. 20(1), pages 183-218, January.
  67. Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi, 2018. "Theoretical and empirical analysis of trading activity," Papers 1803.04892, arXiv.org, revised Oct 2018.
  68. Cattivelli, Luca & Pirino, Davide, 2019. "A SHARP model of bid–ask spread forecasts," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1211-1225.
  69. 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.
  70. Masamitsu Ohnishi & Makoto Shimoshimizu, 2022. "Optimal Pair–Trade Execution with Generalized Cross–Impact," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(2), pages 253-289, June.
  71. Miles Kumaresan & Nataša Krejić, 2015. "Optimal trading of algorithmic orders in a liquidity fragmented market place," Annals of Operations Research, Springer, vol. 229(1), pages 521-540, June.
  72. Rama Cont & Mihai Cucuringu & Chao Zhang, 2021. "Cross-Impact of Order Flow Imbalance in Equity Markets," Papers 2112.13213, arXiv.org, revised Jun 2023.
  73. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Post-Print hal-00971369, HAL.
  74. Pham, Manh Cuong & Anderson, Heather Margot & Duong, Huu Nhan & Lajbcygier, Paul, 2020. "The effects of trade size and market depth on immediate price impact in a limit order book market," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
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