A Dynamic Model of the Limit Order Book

By Ioanid Rosu. 2009

555 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a4cbdacc182a589cbdd371882bc271e226711221

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Ergodicity and scaling limit of a constrained multivariate Hawkes process (2013, unknown): “, 14, 41]; on the other hand, many researchers have endeavored to propose diﬀerent models, including equilibrium model, agent-based model and Markov model, to model the limit order book dynamics, see [36, 38, 17, 15, 1, 16]. More recently point processes have been introduced to ﬁnancial application.”
Liquidity Cycles and Make/Take Fees in Electronic Markets (2013, unknown): “∂M > 0. Similarly, using equations ( 37 ) and (13), we deduce that”
Testing Stylized Facts of Bitcoin Limit Order Books (2019, unknown): “To gain a better understanding of our results, we refer to the work by Roşu (2009), who models the hump-shaped volume distribution as an equilibrium: On the one hand, traders are optimistic that limit orders placed away from the current price will eventually execute at a favorable price.”
Relation between bid–ask spread, impact and volatility in order-driven markets (2006, background): “…market order flows have been analysed to understand the distribution of the bid–ask spread, and relate its average value to flow and cancellation rates (Biais et al. 1997, Foucault 1999, Bouchaud et al. 2002, Daniels et al. 2003, Foucault et al. 2003, Luckock 2003, Smith et al. 2003, Rosu 2005).”
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis (2013, methodology): “Closely related papers are the work of [Foucault et al., 2005], and the more recent paper by [Roşu, 2009].”
A one-level limit order book model with memory and variable spread (2017, unknown): “We refer to Gould et al. [9] for a nice survey of the extensive literature on the subject, which, among the most relevant to our work, includes Luckock [13], Kruk [12], Smith et al. [19], Rosu [17], Cont et al. [7], Abergel and Jedidi [1], Cont and Larrard [6], and Cont and Larrard [5].”
Asset Price Dynamics with Slow-Moving Capital (2010, background): “Relevant theories are provided by Goettler, Parlour, and Rajan (2005), Goettler, Parlour, and Rajan (2008), Rosu (2009), and Biais and Weill (2009), who directly treat price impacts and reversals.”
The role of volume in order book dynamics: a multivariate Hawkes process analysis (2016, background): “One stream of literature (Glosten and Milgrom 1985, Kyle 1985, Roşu 2009) does so by ∗Corresponding author.”
Modelling high-frequency limit order book dynamics with support vector machines (2015, methodology): “In the former approach, statistical properties of the limit order book for the target ﬁnancial asset are developed and conditional quantities are then derived and modelled (Rosu 2009, Cont et al. 2010, Shek 2011, Cont 2011, He and Kercheval 2012).”
Limit Order Markets: A Survey 1 (2008, background): “Foucault (1999), Parlour (1998), Foucault, Kadan, and Kandel (2005), Goettler, Parlour, and Rajan (2005a, 2005b, 2007), and Rosu (2005) take this approach.”
Finding a Good Price in Opaque Over-the-Counter Markets (2012, unknown): “10 This quoting behavior is analogous to the pricing behavior in the limit-order book model of Rosu(2009), in which a limit order with a better price is more likely to be executed and vice versa.”
Technology and Liquidity Provision: The Blurring of Traditional Definitions (2009, unknown): “2 See Cohen, Maier, Schwartz, and Whitcomb (1981), Angel (1994), Chakravarty and Holden (1995), Harris (1998), Parlour (1998), Foucault (1999), Foucault, Kadan, and Kandel (2001), Goettler, Parlour, and Rajan (2003), Kaniel and Liu (2004), and Rosu (2004).”
Price Dynamics in a Markovian Limit Order Market (2011, methodology): “Equilibrium models of price formation in limit order markets (Parlour (1998), Rosu (2009)) have shown that the evolution of the price in such markets is rather complex and depends on the state of the order book.”
Statistical Modeling of High-Frequency Financial Data (2011, background): “…between order ﬂow, liquidity and price dynamics [15, 55, 29] and might help bridge the gap between market microstructure theory [12, 51, 30, 33, 45, 54]–which has provided useful insights by focusing on models of price formation mechanism in stylized equilibrium settings– and ‘black box’…”