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An empirical analysis of order dynamics in a high frequency trading environment

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: ARNE BREUER
Formato: Electrónico eBook
Idioma:Alemán
Publicado: [S.l.] : DUNCKER & HUMBLOT, 2020.
Colección:Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim.
Temas:
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Intro
  • Vorwort
  • Contents
  • List of Figures
  • List of Tables
  • List of Abbreviations
  • List of Variables
  • Chapter 0: Introduction
  • Chapter 1: Literature Overview
  • 1.1 Introduction
  • 1.2 Market Microstructures
  • 1.2.1 Quote-Driven Markets
  • 1.2.2 Order-Driven Markets
  • 1.3 Algorithmic Trading
  • 1.4 Conclusion
  • Chapter 2: The Microstructure of Order Dynamics
  • 2.1 Introduction
  • 2.2 PreviousWork
  • 2.3 Empirical Evidence from NASDAQ
  • 2.3.1 Methodology and Data
  • 2.3.2 Add Order → Delete Order
  • 2.3.3 Add Order → Add Order
  • 2.3.4 Delete Message → Add Message
  • 2.4 Conclusion
  • Chapter 3: The Nanostructure of Order Dynamics
  • 3.1 Introduction
  • 3.2 Literature Review
  • 3.3 Dataset
  • 3.4 Empirical Results
  • 3.4.1 Limit Order Lifetimes
  • 3.4.2 Order Revision Times
  • 3.4.3 Inter-Order Placement Times
  • 3.5 Conclusion
  • 3.A Appendix
  • Chapter 4: Conclusion
  • Bibliography