Add to ORKGABSTRACT.In this paper, we model the simultaneous buy and sell trade arrival process in a limit order book market. The buy and sell process is modelled based on a bivariate intensity model. In this context we extend the autoregressive conditional intensity (ACI) model by allowing for time varying covariates. Using limit order book data from the SEATS system of the Australian Stock Exchange (ASX), we include variables that reflect the state of the order book with respect to market depth, tightness, as well as, the cumulated volume in the ask and bid queue. Moreover, changes of the order book induced by limit order arrivals are captured as time varying covariates. We show that the state of the order book as well as the observed trading proces...
In this paper the dynamics of a joint transaction process are investigated. The transaction process ...
We propose a continuous-time stochastic model for the dynamics of a limit order book. The model stri...
Abstract A stochastic model for orderbook dynamics is proposed in Cont et al.(2010) and empirically ...
Abstract. In this paper, we model the simultaneous buy and sell trade arrival process in a limit ord...
In this paper, we investigate the buy and sell arrival process in a limit order book market. Using a...
This paper introduces a new bivariate autoregressive conditional framework (ACD×ACL) for modelling t...
In this paper, we study the determinants of order aggressiveness and traders' order submission strat...
AbstractI analyze the dynamic trading behavior of market participants by developing a bivariate mode...
Abstract In this paper, we study the determinants of order aggressiveness and traders' order su...
We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first...
In this paper we investigate the price effects of trading intensity. Extending on the Madhavan et al...
We fit a bivariate Hawkes process to arrival data for buy and sell trades in FX markets. The model c...
This dissertation characterizes the bivariate point process of stock and option trades. Additionally...
In this paper we extend the model of Easley and O’Hara (1992) to allow the arrival rates of informed...
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arri...
In this paper the dynamics of a joint transaction process are investigated. The transaction process ...
We propose a continuous-time stochastic model for the dynamics of a limit order book. The model stri...
Abstract A stochastic model for orderbook dynamics is proposed in Cont et al.(2010) and empirically ...
Abstract. In this paper, we model the simultaneous buy and sell trade arrival process in a limit ord...
In this paper, we investigate the buy and sell arrival process in a limit order book market. Using a...
This paper introduces a new bivariate autoregressive conditional framework (ACD×ACL) for modelling t...
In this paper, we study the determinants of order aggressiveness and traders' order submission strat...
AbstractI analyze the dynamic trading behavior of market participants by developing a bivariate mode...
Abstract In this paper, we study the determinants of order aggressiveness and traders' order su...
We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first...
In this paper we investigate the price effects of trading intensity. Extending on the Madhavan et al...
We fit a bivariate Hawkes process to arrival data for buy and sell trades in FX markets. The model c...
This dissertation characterizes the bivariate point process of stock and option trades. Additionally...
In this paper we extend the model of Easley and O’Hara (1992) to allow the arrival rates of informed...
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arri...
In this paper the dynamics of a joint transaction process are investigated. The transaction process ...
We propose a continuous-time stochastic model for the dynamics of a limit order book. The model stri...
Abstract A stochastic model for orderbook dynamics is proposed in Cont et al.(2010) and empirically ...