Order aggressiveness in limit order book markets

By Angelo Ranaldo. 2004

384 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ce6ba2ce44da4d1ca43b46b2d23dec145132905f

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Citations in the corpus

Optimal execution strategies in limit order books with general shape functions (2007, background): “n the large trader is inactive in between market orders. It is a well established empirical fact that order books exhibit a certain resilience as to the price impact of large block orders; see, e.g., [8, 12, 15, 17] and the references therein. That is, at least a part of the price impact will only b”
Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models (2011, positive): “Limit and market order submission strategies depend strongly on quoted spreads and quoted depth as outlined in Biais et al. (1995), Harris and Hasbrouck (1996), Griffiths et al. (2000), Anand et al. (2005), Parlour (1998), Ranaldo (2004) and Pascual and Veredas (2009).”
Limit order books (2010, background): “Zhao (2010) and Toke (2011) recently extended the Cont et al.”
Order Dynamics: Recent Evidence from the NYSE (2003, background): “Beber and Caglio (2002) and Ranaldo (2004) analyze the quoted depth's effect on order submission.”
Technology and Liquidity Provision: The Blurring of Traditional Definitions (2009, neutral): “This differs from the practice in Smith (2000), Ellul, Holden, Jain, and Jennings (2002), and Renaldo (2004), wherein events are defined solely by reference to the order and market condition at the time the order arrived.”
Limit Order Markets: A Survey 1 (2008, background): “…investors will arrive in the future affects the trades to which rational investors agree 6See Griffiths et al. (2000) for the Toronto Stock Exchange, Ranaldo (2004) for the Swiss Stock Exchange, Cao, Hansch, and Wang (2004) for the Australian Stock Exchange, and related research discussed below.”
Testing Stylized Facts of Bitcoin Limit Order Books (2019, methodology): “Similar results have been obtained for a foreign exchange market (Danielsson and Payne 2001), the Swiss Stock Exchange (Ranaldo 2004) and the Paris Bourse (Biais et al. 1995).”
Informed and Strategic Order Flow in the Bond Markets (2006, neutral): “[65] Ranaldo, A.”
Hidden Liquidity: An Analysis of Order Exposure Strategies in Electronic Stock Markets (2009, positive): “Griffiths, Smith, Turnbull, and White (2000) and Ranaldo (2004) find that traders submit aggressively priced orders when there is more depth on the opposite side (at the bid price for sales and at the ask price for purchases), resulting in improved execution probabilities in these more competitive…”
Benchmark Dataset for Mid-Price Prediction of Limit Order Book data (2017, background): “In the same direction, Ranaldo [42] examines and shows the relationship between trading activity and the order ﬂow dynamics in LOBs where the empirical investigation is based on a probit model.”