3 citations · 3 across the 5 of their papers we have counts for
Showing 2024Show all
2 papers · 1 filter
q-fin.TR2024
No Tick-Size Too Small: A General Method for Modelling Small Tick Limit Order Books
Konark Jain, Jean-François Muzy, Jonathan Kochems +1
Tick-sizes not only influence the granularity of the price formation process but also affect market agents' behavior. We investigate the disparity in the microstructural properties…
q-fin.TR2024
Limit Order Book Simulations: A Review
Konark Jain, Nick Firoozye, Jonathan Kochems +1
Limit Order Books (LOBs) serve as a mechanism for buyers and sellers to interact with each other in the financial markets. Modelling and simulating LOBs is quite often necessary fo…