Limit Order Markets: A Survey 1

By Christine A. Parlour, Duane J. Seppi. 2008

134 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4978c7629a6f7ea61a15fbf22dbba2ffbe23d896

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Citations in the corpus

Do Dark Pools Harm Price Discovery (2013, unknown): “Mittal (2008) and Saraiya and Mittal (2009) emphasize that short-term adverse selection in dark pools can reduce execution quality of institutional investors.”
The role of volume in order book dynamics: a multivariate Hawkes process analysis (2016, background): “We refer to Parlour and Seppi (2008) and Gould et al. (2013) for a more comprehensive review of the literature.”
Limit order books (2010, background): “ size ˇdictates how much more expensive it is for a trader to gain the priority (see Section III.D) associated with choosing a higher (respectively, lower) price for a buy (respectively, sell) order (Parlour and Seppi, 2008). In markets where ˇis extremely small, there is little reason for a trader ”
Algorithmic Trading and the Market for Liquidity (2013, background): “Parlour and Seppi (2008) provide a general survey on limit order markets and the importance of the monitoring friction.”
Price jump prediction in a limit order book (2012, background): “king prediction, see Hasbrouck (1991) [10], Hausman et al. (1992) [12], Keim and Madhavan (1996) [14], Lo et al. (2002) [17], Lillo et al. (2003) [15], Hasbrouck (2006) [13], Parlour and Seppi (2008) [18] and Jondeau et al. (2008) and Linnainmaa and Rosu (2009) [16]. Trade-through has also been the ”
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market: Rise of the Machines (2009, unknown): “[29] Parlour, Christine, and Seppi, Duane, 2008, Limit Order Markets: A Survey, Handbook of Financial Intermediation & Banking, ed.”
Modelling high-frequency limit order book dynamics with support vector machines (2015, background): “Electronic trading systems have been widely adopted by many established exchanges including NYSE, NASDAQ and the London Stock Exchange (Parlour and Seppi 2008, Cont et al. 2010, Cont and de Larrard 2012).”
DeepLOB: Deep Convolutional Neural Networks for Limit Order Books (2018, background): “IN TODAY’S competitive financial world more than half of the markets use electronic Limit Order Books (LOBs) [2] to record trades [3].”
The Economics of High-Frequency Trading: Taking Stock (2016, background): “For excellent reviews of classic theory I refer to O’Hara (1995), Biais, Glosten & Spatt (2005), Parlour & Seppi (2008), de Jong & Rindi (2009), Foucault, Pagano & Röell (2013), and Vayanos & Wang (2013).”
Need for Speed? Exchange Latency and Liquidity (2016, background): “A single risky asset is traded in a standard limit-order market with price-time priority (see Parlour and Seppi, 2008, for a detailed discussion of this type of market).”
A Mathematical Approach to Order Book Modelling (2010, unknown): “[20] and references therein).”