Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 25 for “"Order Book"”.
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Calibrating a Latent Order Book Model to Market Data
We investigate the formulation of the Latent Order Book (LOB) as a reaction diffusion Partial Differential Equation (PDE) and its subsequent numerical solution through an explicit method based on discrete stochastic processes. The numerical solution is calibrated using likelihood-free methods, …
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Collaborating queues: large service network and a limit order book
… pools equally busy. Although the policy behaves order-optimally over fixed time horizons, we show that the steady-state distribution may fail to be tight on the diffusion scale. That is, in a family of ever-larger networks whose arrival rates grow as O(r) (where r is a scaling parameter growing …
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Sequential Modelling and Inference of High-frequency Limit Order Book with State-space Models and Monte Carlo Algorithms
The high-frequency limit order book (LOB) market has recently attracted increasing research attention from both the industry and the academia as a result of expanding algorithmic trading. However, the massive data throughput and the inherent complexity of high-frequency market dynamics also present …
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Deep learning models for high-frequency financial data
The limit order book of a financial instrument represents its supply and demand at each point in time. The limit order book data can be used to predict the future price of the financial instrument. We develop deep learning models to capture the high dimensional data distributions (on R^d) of the …
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Topics in Market Microstructure
… A simulation of pure electronic limit order book (E-LOB) finds support to implement FTT. Particularly, traders are found to trade more aggressively by increasing the volume traded to remain in a profitable position after tax. The market, nevertheless, ended up with higher trading …
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Natural Time and Crash Risk
… “natural time” approach introduced here, uses order book variables to achieve normally distributed high frequency returns via subordination. In its essence, natural time is a two‐step procedure which uses high frequency order book variables as a gauge for variance while sampling in transaction …
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THREE ESSAYS ON NYSE SPECIALIST STRATEGIES
… choices to undercut or add depth to the limit order book. We find that the primary factor that affects the participation strategy of the specialists in the current period is the changes in the best prices and depths on the limit order book. In addition, specialists participate to the posted …
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Essays in Financial Economics and Asset Pricing
… After showing the solid predictive power of order books and estimating the predictive precision, this paper demonstrates that higher precision increases market liquidity and that the precision levels of different types of traders do not interact with each other to affect liquidity measures …
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Correlation emergence in two coupled limit order books in the fluid limit
… the fluid limit of two coupled diffusive limit order books to model correlation emergence. The model implements the arrival, cancellation and diffusion of orders coupled by a pairs trader profiting from the mean-reversion between the two order-books in the fluid limit for a Lit order book with …
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Order Behavior In High Frequency Markets
… Part 1, I study the characteristics of short orders in stock markets. Fleeting orders are quick limit orders that remain on the limit order book for only a few seconds before being canceled, and are significantly different than more patient, static, limit orders that are added to the limit …
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Stochastic Models of Limit Order Markets
… transitioned to electronic trading in limit order books, creating a need for a new set of quantitative models to describe these order-driven markets. This dissertation offers a collection of models that provide insight into the structure of modern financial markets, and can help to optimize …
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Three essays on the market microstructure of the Saudi stock market
Using data sets on orders, order packages, quotes, trades and market-limit orders, we investigate several aspects of the microstructure of the Saudi Stock Market (SSM) under the computerized trading system, ESIS (Electronic Securities Information System). We study the interaction between the order …
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A Regimental History of the 5th Michigan Infantry Regiment From Its Formation Through the Seven Days Campaign
… are included, as are the Regimental Descriptive Books and Order Book. No longer are these documents simply sitting in a vault, but now are largely included in this thesis and made available for all people. Here is the first part of the story of a unit that led charges against enemy lines …
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STOCHASTIC MODELING OF LIMIT ORDER BOOKS: CONVERGENCE OF THE PRICE PROCESS, SIMULATION AND APPLICATIONS
In the past two decades, electronic limit order books (LOBs) have become the most important mechanism through which securities are traded. A LOB contains the current supply and demand of a security at different prices and it can be modeled as a random, state-dependent, and high-dimensional system …
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Limit order markets, liquidity, and price impact
… on asset prices. First, in a model of a limit order market I explain how to define liquidity and derive a price impact function. Second, I show how agents who have price impact generate a liquidity component in asset prices. In Part I, I propose a continuous-time model of price formation in a …
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Macroeconomic News and LOB in Foreign Exchange ECN Market
… news effect on the dynamics of the limit order books (LOB) for euro-dollar ECN market in different economic states between Jan. 2006 to Dec. 2009. Using a VAR-STR model on the news surprise, pure news, aggregated good and bad news, we show that news effects on the LOB dynamics vary in …
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Essays on Financial Market Structure
… instead they rely on a broker who receives their order and submits it to a trading venue. Brokers face a conflict of interest when the commissions they receive from investors differ from the costs imposed by different trading venues. Investors want their orders to be filled with the highest …
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Application of XML in B2B financial services
… industry Landscape, formation of Central Limit Order Book (CLOB), Emergence of HUBs and Exchanges, Global Straight Through Processing, Settlement time of T +O, Emergence of Aggregators and Enterprise Portals. The future trend section further discusses the role of XML in this changing environment …
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Essays in Information Finance
… the effect concentrated in single-leg and limit-order-book trades. The results also support selective delta-hedging by option market makers against orders more likely to be informed. These findings are robust to using continuous absolute delta, to moneyness subsamples, and to partitioning across …
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