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Limit Order Book (LOB) Shape Modeling in Presence of Heterogeneously Informed Market Participants

Mouhamad Drame

Market Microstructure and Liquidity2019https://doi.org/10.1142/s2382626620500070preprint
ABDC B
Weight
0.26

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https://doi.org/https://doi.org/10.1142/s2382626620500070

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@article{mouhamad2019,
  title        = {{Limit Order Book (LOB) Shape Modeling in Presence of Heterogeneously Informed Market Participants}},
  author       = {Mouhamad Drame},
  journal      = {Market Microstructure and Liquidity},
  year         = {2019},
  doi          = {https://doi.org/https://doi.org/10.1142/s2382626620500070},
}

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Limit Order Book (LOB) Shape Modeling in Presence of Heterogeneously Informed Market Participants

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Evidence weight

0.26

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.