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order book

The information content of a limit order book : the case of an FX market

The information content of a limit order book : the case of an FX market

... a model-free way by employing a genetic algorithm. Genetic algorithms serve as a systematic search mechanism for the best trading rule from amongst a huge universe of potential rules given the particular information set ...

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Optimal inventory management and order book modeling *

Optimal inventory management and order book modeling *

... The prior and parameters of the participants are the same as the one that have been used in the above numerical experiments. More precisely, we consider one MM, one HFT and four IB. Among the IB, two are playing volume ...

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Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book

Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book

... the order book, we are able to analyze this widespread exchange rate arrangement in a way not being tackled in the earlier ...of order flow on days when the central bank is an active participant in ...

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Search costs and investor trading activity: evidences from limit order book

Search costs and investor trading activity: evidences from limit order book

... is conducted, where BFT and BSD are the same as those defined for Table IV , and OPD is the same as that defined in (2). In (3), BSD is included as a control variable. Although the results in Table IV show that the ...

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Liquidity prediction in limit order book markets

Liquidity prediction in limit order book markets

... in order-driven markets. In such markets, a centralised limit order book is available to market participants to post buy or sell limit orders for a given price and ...limit order book, ...

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The impact of heterogeneous trading rules on the limit order book and order flows

The impact of heterogeneous trading rules on the limit order book and order flows

... of order book data has also added to the debate on what causes fat tailed fluctuations in asset ...the order size, in contrast Farmer et ...an order submission typically results in a large ...

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The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows

The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows

... of order book data has also added to the debate on what causes fat tailed fluctuations in asset ...the order size, in contrast Farmer et ...an order submission typically results in a large ...

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Stochastic models for the Limit Order Book

Stochastic models for the Limit Order Book

... the order books, in order to understand their statistical ...the order books. Firstly, the incoming limit order prices follow a power-law dis- tribution around the current price with a ...

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Limit order book resilience and cross impact limit order book model

Limit order book resilience and cross impact limit order book model

... an order book ...the order book and for explicit measurement of resiliency with enough mathematical tractability, compared to the models of Parlour [67], Foucault et ...

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Herding to A Side of Order Book Balance

Herding to A Side of Order Book Balance

... An interesting and unique thing we found in most stocks traded in Jakarta Stock Exchange is that in most cases, a lot of submitted orders are placed too far from price level of the best orders (best-bid and best-ask) ...

11

Stepping out of the limit order book: Empirical evidence from the EBS FX market

Stepping out of the limit order book: Empirical evidence from the EBS FX market

... Note: All orders regardless of cancellations or executions are used to construct the order book. The sample includes only canceled orders from the EUR/USD spot foreign exchange market. The first 500 ...

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The impact of heterogeneous trading rules on the limit order book and order flows

The impact of heterogeneous trading rules on the limit order book and order flows

... Permanent repository link: http://openaccess.city.ac.uk/14603/ Link to published version: http://dx.doi.org/10.1016/j.jedc.2008.08.001 Copyright and reuse: City Research Online aims to m[r] ...

6

Effective Trade Execution

Effective Trade Execution

... the order flow, implemented this fee structure for the first time, Given the implementation of such aggressive trading schemes, all European exchanges have lowered their fees to avoid losing order ...an ...

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Natural capital and ecosystem services,

Natural capital and ecosystem services,

... Valuing ecosystem services has been criticized as unwise or even impossible because we sup- posedly cannot put a value on “intangibles” like human life and nature. In reality, we implicitly value these things on a daily ...

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Growing the Ancient Maya Social- Ecological System from the Bottom Up

Growing the Ancient Maya Social- Ecological System from the Bottom Up

... and complex resource management systems by the first millennium bc. The long- term political and economic history of the lowlands suggests a cyclic pattern of re- gional and subregional growth, decline, and ...

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Claim the Sky!

Claim the Sky!

... Holding climate polluters accountable for their damage is more straight- forward than it might seem. Approximately 90 companies globally are responsible for introducing two-thirds of the carbon emitted into the ...

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A short history of the ecosystem services concept

A short history of the ecosystem services concept

... the book is partially funded by the project ‘En- hancing ecosystem services mapping for policy and decision mak- ing’ (ESMERALDA), which receives funding from the European Union’s Horizon 2020 research and ...

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National ecosystem service mapping approaches

National ecosystem service mapping approaches

... countries in order to map ecosystems and ES remain to be seen. Perhaps the solution is partnerships between countries - exam- ples include the European Union’s Joint Research Centre (JRC) and the United Na- tions ...

7

Toward a sustainable and desireable future: a 35-year collaboration with Herman Daly

Toward a sustainable and desireable future: a 35-year collaboration with Herman Daly

... a book including all the session papers (Daly and Umaña, ...the book (Costanza, 1981a, 1981b), one on the basic results of my I- O modeling and one in response to Herman’s problems with interpreting these ...

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A Nexus Approach to Urban and Regional Planning Using the Four Capital Framework of Ecological Economics.

A Nexus Approach to Urban and Regional Planning Using the Four Capital Framework of Ecological Economics.

... in order to improve the lot of the poor without having to appeal too much to the ‘politically impossible’ alterna- tives of serious population control and redistribution of ...

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