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Optimal execution and price manipulations in time-varying limit order books
Market impact model optimal order execution limit order book market makers price manipulation
2012/4/28
This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varying LOB depth. We solv...
Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement
Asymmetric statistics of order books discreteness evidence strategic order placement
2010/11/1
We show that the statistics of spreads in real order books is character-ized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis of data from the NY...
Empirical shape function of limit-order books in the Chinese stock market
Empirical shape function limit-order books Chinese stock market
2010/12/13
We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange...