Essays about: "Limit Order Book"
Showing result 1 - 5 of 22 essays containing the words Limit Order Book.
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1. On Predicting Price Volatility from Limit Order Books
University essay from Uppsala universitet/Matematiska institutionenAbstract : Accurate forecasting of stock price movements is crucial for optimizing trade execution and mitigating risk in automated trading environments, especially when leveraging Limit Order Book (LOB) data. However, developing predictive models from LOB data presents substantial challenges due to its inherent complexities and high-frequency nature. READ MORE
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2. Optimal Order Placement Using Markov Models of Limit Order Books
University essay from KTH/Matematik (Avd.)Abstract : We study optimal order placement in a limit order book. By modelling the limit order book dynamics as a Markov chain, we can frame the purchase of a single share as a Markov Decision Process. Within the framework of the model, we can estimate optimal decision policies numerically. The trade rate is varied using a running cost control variable. READ MORE
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3. Expansions of neutrino oscillation and decay probabilities in matter
University essay from KTH/FysikAbstract : We consider a simple model for invisible neutrino decay as a sub-leading effect in the standard three-flavor neutrino oscillation framework, and use the Cayley–Hamilton formalism to obtain a full set of neutrino oscillation probabilities in matter. These are given as analytical series expansions in the small parameters α ∼ O(λ^2) and s_13 ∼ O(λ), where λ ≡ 0. READ MORE
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4. Statistical Modelling of Price Difference Durations Between Limit Order Books: Applications in Smart Order Routing
University essay from KTH/Matematisk statistikAbstract : The modern electronic financial market is composed of a large amount of actors. With the surge in algorithmic trading some of these actors collectively behave in increasingly complex ways. Historically, academic research related to financial markets has been focused on areas such as asset pricing, portfolio management and financial econometrics. READ MORE
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5. Out of the Books and Into the Woods
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The objective of this thesis is to analyze the predictive power of the cryptocurrency limit order book for return predictions. The analysis is performed for the BTC/USD and ETH/USD directional 10-second returns, using limit order book data from three of the largest cryptocurrency spot exchanges. READ MORE