6 papers
"Microstructure Modes" -- Disentangling the Joint Dynamics of Prices & Order Flow
Salma Elomari-Kessab, Guillaume Maitrier, Julius Bonart +1
Understanding the micro-dynamics of asset prices in modern electronic order books is crucial for investors and regulators. In this paper, we use an order by order Eurostoxx databas…
Scaling behavior of the momentum distribution of a quantum Coulomb system in a confining potential
J. A. E. Bonart, W. H. Appelt, D. Vollhardt +1
We calculate the single-particle momentum distribution of a quantum many-particle system in the presence of the Coulomb interaction and a confining potential. The region of interme…
Order statistics of horse racing and the randomly broken stick
Peter A. Bebbington, Julius Bonart
We find a remarkable agreement between the statistics of a randomly divided interval and the observed statistical patterns and distributions found in horse racing betting markets.…
A continuous and efficient fundamental price on the discrete order book grid
Julius Bonart, Fabrizio Lillo
This paper develops a model of liquidity provision in financial markets by adapting the Madhavan, Richardson, and Roomans (1997) price formation model to realistic order books with…
Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book
Martin D. Gould, Julius Bonart
We investigate whether the bid/ask queue imbalance in a limit order book (LOB) provides significant predictive power for the direction of the next mid-price movement. We consider t…
Latency and liquidity provision in a limit order book
Julius Bonart, Martin Gould
We use a recent, high-quality data set from Nasdaq to perform an empirical analysis of order flow in a limit order book (LOB) before and after the arrival of a market order. For ea…