Academic literature on the topic 'Stock market order submissions'
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Journal articles on the topic "Stock market order submissions"
Xu, Hai-Chuan, Wei Zhang, Xiong Xiong, and Wei-Xing Zhou. "An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market." Mathematical Problems in Engineering 2014 (2014): 1–10. http://dx.doi.org/10.1155/2014/563912.
Full textBechler, Kyle, and Mike Ludkovski. "Order Flows and Limit Order Book Resiliency on the Meso-Scale." Market Microstructure and Liquidity 03, no. 03n04 (December 2017): 1850006. http://dx.doi.org/10.1142/s2382626618500065.
Full textGonzalez, Federico, and Mark Schervish. "Instantaneous Order Impact and High-Frequency Strategy Optimization in Limit Order Books." Market Microstructure and Liquidity 03, no. 02 (June 2017): 1850001. http://dx.doi.org/10.1142/s2382626618500016.
Full textBilev, N. A. "Modelling of stock market security price Dynamics Using market microstructure Data." Finance: Theory and Practice 22, no. 5 (November 23, 2018): 141–53. http://dx.doi.org/10.26794/2587-5671-2018-22-5-141-153.
Full textMaeda, Iwao, David deGraw, Michiharu Kitano, Hiroyasu Matsushima, Kiyoshi Izumi, Hiroki Sakaji, and Atsuo Kato. "Latent Segmentation of Stock Trading Strategies Using Multi-Modal Imitation Learning." Journal of Risk and Financial Management 13, no. 11 (October 23, 2020): 250. http://dx.doi.org/10.3390/jrfm13110250.
Full textRatnasari, Inneke Kusuma, and Yanti Ardiati. "PENGARUH KARAKTERISTIK KOMITE AUDIT, PREDIKSI KEBANGKRUTAN DAN KEPEMILIKAN PUBLIK TERHADAP AUDIT REPORT LAG." MODUS 28, no. 2 (December 21, 2016): 117. http://dx.doi.org/10.24002/modus.v28i2.846.
Full textSong, Na, Yue Xie, Wai-Ki Ching, Tak-Kuen Siu, and Cedric Ka-Fai Yiu. "Optimal Strategy for Limit Order Book Submissions in High Frequency Trading." East Asian Journal on Applied Mathematics 6, no. 2 (May 2016): 222–34. http://dx.doi.org/10.4208/eajam.230515.160316a.
Full textLi, Junyi, Xintong Wang, Yaoyang Lin, Arunesh Sinha, and Michael Wellman. "Generating Realistic Stock Market Order Streams." Proceedings of the AAAI Conference on Artificial Intelligence 34, no. 01 (April 3, 2020): 727–34. http://dx.doi.org/10.1609/aaai.v34i01.5415.
Full textFernholz, Robert, Tomoyuki Ichiba, and Ioannis Karatzas. "A second-order stock market model." Annals of Finance 9, no. 3 (March 7, 2012): 439–54. http://dx.doi.org/10.1007/s10436-012-0193-2.
Full textLi, Minxin. "Discussion on the Influence of Stock Market opening on Market Manipulation." Frontiers in Business, Economics and Management 5, no. 1 (September 1, 2022): 65–67. http://dx.doi.org/10.54097/fbem.v5i1.1466.
Full textDissertations / Theses on the topic "Stock market order submissions"
Blazejewski, Adam. "Computational Models for Stock Market Order Submissions." Engineering, 2006. http://hdl.handle.net/2123/923.
Full textThe motivation for the research presented in this thesis stems from the recent availability of high frequency limit order book data, relative scarcity of studies employing such data, economic significance of transaction costs management, and a perceived potential of data mining for uncovering patterns and relationships not identified by the traditional top-down modelling approach. We analyse and build computational models for order submissions on the Australian Stock Exchange, an order-driven market with a public electronic limit order book. The focus of the thesis is on the trade implementation problem faced by a trader who wants to transact a buy or sell order of a certain size. We use two approaches to build our models, top-down and bottom-up. The traditional, top-down approach is applied to develop an optimal order submission plan for an order which is too large to be traded immediately without a prohibitive price impact. We present an optimisation framework and some solutions for non-stationary and non-linear price impact and price impact risk. We find that our proposed transaction costs model produces fairly good forecasts of the variance of the execution shortfall. The second, bottom-up, or data mining, approach is employed for trade sign inference, where trade sign is defined as the side which initiates both a trade and the market order that triggered the trade. We are interested in an endogenous component of the order flow, as evidenced by the predictable relationship between trade sign and the variables used to infer it. We want to discover the rules which govern the trade sign, and establish a connection between them and two empirically observed regularities in market order submissions, competition for order execution and transaction cost minimisation. To achieve the above aims we first use exploratory analysis of trade and limit order book data. In particular, we conduct unsupervised clustering with the self-organising map technique. The visualisation of the transformed data reveals that buyer-initiated and seller-initiated trades form two distinct clusters. We then propose a local non-parametric trade sign inference model based on the k-nearest-neighbour classifier. The best k-nearest-neighbour classifier constructed by us requires only three predictor variables and achieves an average out-of-sample accuracy of 71.40% (SD=4.01%)1, across all of the tested stocks. The best set of predictor variables found for the non-parametric model is subsequently used to develop a piecewise linear trade sign model. That model proves superior to the k-nearest-neighbour classifier, and achieves an average out-of-sample classification accuracy of 74.38% (SD=4.25%). The result is statistically significant, after adjusting for multiple comparisons. The overall classification performance of the piecewise linear model indicates a strong dependence between trade sign and the three predictor variables, and provides evidence for the endogenous component in the order flow. Moreover, the rules for trade sign classification derived from the structure of the piecewise linear model reflect the two regularities observed in market order submissions, competition for order execution and transaction cost minimisation, and offer new insights into the relationship between them. The obtained results confirm the applicability and relevance of data mining for the analysis and modelling of stock market order submissions.
Blazejewski, Adam. "Computational Models for Stock Market Order Submissions." Thesis, The University of Sydney, 2005. http://hdl.handle.net/2123/923.
Full textJohnson, Ike Jay. "Essays on the microstructure of the market pre-opening period." Thesis, University of Manchester, 2010. https://www.research.manchester.ac.uk/portal/en/theses/essays-on-the-microstructure-of-the-market-preopening-period(4cd12b17-fd99-49d8-b395-2fbd11192228).html.
Full textCheung, Ming-yan William. "Market microstructure of an order driven market." Click to view the E-thesis via HKUTO, 2005. http://sunzi.lib.hku.hk/hkuto/record/B3203782X.
Full textCheung, Ming-yan William, and 張明恩. "Market microstructure of an order driven market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B3203782X.
Full textWen, Quan. "Limit-order completion time in the London stock market." Thesis, Heriot-Watt University, 2009. http://hdl.handle.net/10399/2239.
Full textTepe, Mete. "Market Reaction To Rights Offering Announcements In The Turkish Stock Market." Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614044/index.pdf.
Full textKlimes, Micong. "Liquidity in the German stock market an analysis using order book data." Marburg Tectum-Verl, 2004. http://deposit.d-nb.de/cgi-bin/dokserv?id=2987370&prov=M&dok_var=1&dok_ext=htm.
Full textKlimes, Micong. "Liquidity in the German stock market : an analysis using order book data /." Marburg : Tectum, 2007. http://deposit.d-nb.de/cgi-bin/dokserv?id=2987370&prov=M&dok_var=1&dok_ext=htm.
Full textSimonsen, Ola. "Stock data, trade durations, and limit order book information." Doctoral thesis, Umeå : Department of Economics, Umeå University, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-839.
Full textBooks on the topic "Stock market order submissions"
Lo, Ingrid. Order submission: The choice between limit and market orders. Ottawa: Bank of Canada, 2005.
Find full textCawthorn, Miles David. Examination and analysis of the major determinants of the world sugar stock level in conjunction with the fundamental market variables of world sugar in order to consider likely market outcomes for 1992 three year prediction. WGIHE, 1991.
Find full textJohansen, Bruce, and Adebowale Akande, eds. Nationalism: Past as Prologue. Nova Science Publishers, Inc., 2021. http://dx.doi.org/10.52305/aief3847.
Full textStoneman, Paul, Eleonora Bartoloni, and Maurizio Baussola. The Demand for a New Product. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198816676.003.0005.
Full textPeter, Sester. Business and Investment in Brazil. Oxford University Press, 2022. http://dx.doi.org/10.1093/law/9780192848123.001.0001.
Full textBook chapters on the topic "Stock market order submissions"
Gu, Jun, and Yike Guo. "Will the Robot’s Dominance of the Stock Market Disrupt the Market Order?" In Human Intelligence, 123–50. Singapore: Springer Nature Singapore, 2022. http://dx.doi.org/10.1007/978-981-19-6305-6_7.
Full textHuang, Yi-Ping, Shu-Heng Chen, Min-Chin Hung, and Tina Yu. "An Order-Driven Agent-Based Artificial Stock Market to Analyze Liquidity Costs of Market Orders in the Taiwan Stock Market." In Natural Computing in Computational Finance, 163–79. Berlin, Heidelberg: Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-23336-4_9.
Full textChakrabarty, Bidisha, and Konstantin Tyurin. "Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders." In Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, 33–65. London: Palgrave Macmillan UK, 2011. http://dx.doi.org/10.1057/9780230298101_2.
Full textOlbrys, Joanna, and Michal Mursztyn. "Liquidity Proxies Based on Intraday Data: The Case of the Polish Order-Driven Stock Market." In Advances in Panel Data Analysis in Applied Economic Research, 113–28. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-70055-7_9.
Full textVan Tinh, Nghiem, and Nguyen Cong Dieu. "An Improved Method for Stock Market Forecasting Combining High-Order Time-Variant Fuzzy Logical Relationship Groups and Particle Swam Optimization." In Advances in Information and Communication Technology, 153–66. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-49073-1_18.
Full text"12. Payment for Order Flow." In The New Stock Market, 289–92. Columbia University Press, 2018. http://dx.doi.org/10.7312/fox-18196-014.
Full textNayak, Sarat Chandra, Bijan Bihari Misra, and Himansu Sekhar Behera. "Adaptive Hybrid Higher Order Neural Networks for Prediction of Stock Market Behavior." In Advances in Computational Intelligence and Robotics, 174–91. IGI Global, 2016. http://dx.doi.org/10.4018/978-1-5225-0063-6.ch007.
Full textSmithers, Andrew. "Depreciation, Capital Consumption, and Maintenance." In The Economics of the Stock Market, 143–46. Oxford University Press, 2022. http://dx.doi.org/10.1093/oso/9780192847096.003.0029.
Full textHeinemann, Kieran. "Bucket Shops and Outside Brokers." In Playing the Market, 20–58. Oxford University Press, 2021. http://dx.doi.org/10.1093/oso/9780198864257.003.0002.
Full textPanait, Mirela, Razvan Ionescu, Irina Gabriela Radulescu, and Husam Rjoub. "The Corporate Social Responsibility on Capital Market." In Financial Management and Risk Analysis Strategies for Business Sustainability, 219–53. IGI Global, 2021. http://dx.doi.org/10.4018/978-1-7998-7634-2.ch011.
Full textConference papers on the topic "Stock market order submissions"
Chan, Chun-Hin, and Alfred Ka Chun Ma. "Order-Based Manipulation: Evidence from Hong Kong Stock Market." In 3rd Annual International Conference on Operations Research and Statistics. Global Science Technology Forum, 2013. http://dx.doi.org/10.5176/2251-1938_ors13.14.
Full textChen, Miaoxin, and Rui Bao. "The Impact of Order Imbalance on Market Returns and Volatility: Evidence from Chinese Stock Market." In 2011 Fourth International Conference on Business Intelligence and Financial Engineering (BIFE). IEEE, 2011. http://dx.doi.org/10.1109/bife.2011.130.
Full textLi, Chenggang, Xiaoliang Liu, Cong Luo, Yandan Xue, Mingguo Zhang, and Lingyun Luo. "Study on the Dynamic Impulse of Stock Market Order Flow on Return." In 2016 6th International Conference on Mechatronics, Computer and Education Informationization (MCEI 2016). Paris, France: Atlantis Press, 2016. http://dx.doi.org/10.2991/mcei-16.2016.291.
Full textLi, Chenggang, Di Wang, Min Li, Bing Yang, and Kang Pan. "Empirical Analysis of The Dynamic Impact of Stock Market Sectors Order Flow on Return." In 2016 6th International Conference on Mechatronics, Computer and Education Informationization (MCEI 2016). Paris, France: Atlantis Press, 2016. http://dx.doi.org/10.2991/mcei-16.2016.18.
Full textCheng, Wei, Shan-cun Liu, He-ying Jiao, and Wan-hua Qiu. "How Does Limit Order Book Information Affect Trading Strategy and Market Quality: Simulations of an Agent-Based Stock Market." In 2009 International Conference on Management and Service Science (MASS). IEEE, 2009. http://dx.doi.org/10.1109/icmss.2009.5303350.
Full textCui, Wei, Anthony Brabazon, and Michael O'Neill. "Efficient trade execution using a genetic algorithm in an order book based artificial stock market." In the 11th annual conference companion. New York, New York, USA: ACM Press, 2009. http://dx.doi.org/10.1145/1570256.1570270.
Full textDias, Rui, and Hortense Santos. "STOCK MARKET EFFICIENCY IN AFRICA: EVIDENCE FROM RANDOM WALK HYPOTHESIS." In Sixth International Scientific-Business Conference LIMEN Leadership, Innovation, Management and Economics: Integrated Politics of Research. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/limen.2020.25.
Full textKvietkauskienė, Alina, and Raimonda Martinkutė-Kaulienė. "Performance Evaluation of Stock Markets." In Contemporary Issues in Business, Management and Education. Vilnius Gediminas Technical University, 2017. http://dx.doi.org/10.3846/cbme.2017.071.
Full textKılıç, Süleyman Bilgin, and Salih Çam. "Estimation of Direction of Exchange Rate, Gold Price and Stock Market Returns with High Order Markov Chain Models." In International Conference on Eurasian Economies. Eurasian Economists Association, 2016. http://dx.doi.org/10.36880/c07.01736.
Full textDias, Rui, Paula Heliodoro, Paulo Alexandre, and Cristina Vasco. "THE SHOCKS BETWEEN OIL MARKET TO THE BRIC STOCK MARKETS: A GENERALIZED VAR APPROACH." In 4th International Scientific Conference – EMAN 2020 – Economics and Management: How to Cope With Disrupted Times. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/eman.2020.25.
Full textReports on the topic "Stock market order submissions"
Kim, Adlar J., and Christian R. Shelton. Modeling Stock Order Flows and Learning Market-Making from Data. Fort Belvoir, VA: Defense Technical Information Center, June 2002. http://dx.doi.org/10.21236/ada459806.
Full textСоловйов, Володимир Миколайович, V. Saptsin, and D. Chabanenko. Markov chains applications to the financial-economic time series predictions. Transport and Telecommunication Institute, 2011. http://dx.doi.org/10.31812/0564/1189.
Full textBusso, Matías, and Juan Pablo Chauvin. Long-term Effects of Weather-induced Migration on Urban Labor and Housing Markets. Inter-American Development Bank, January 2023. http://dx.doi.org/10.18235/0004714.
Full textNechaev, V., Володимир Миколайович Соловйов, and A. Nagibas. Complex economic systems structural organization modelling. Politecnico di Torino, 2006. http://dx.doi.org/10.31812/0564/1118.
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