161 citations · 561 across the 20 of their papers we have counts for
6 papers · 1 filter
Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets
Jakob Albers, Mihai Cucuringu, Sam Howison +1
In light of micro-scale inefficiencies induced by the high degree of fragmentation of the Bitcoin trading landscape, we utilize a granular data set comprised of orderbook and trade…
Multi-Level Order-Flow Imbalance in a Limit Order Book
Ke Xu, Martin D. Gould, Sam D. Howison
We study the multi-level order-flow imbalance (MLOFI), which is a vector quantity that measures the net flow of buy and sell orders at different price levels in a limit order book…
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading
Martin D. Gould, Nikolaus Hautsch, Sam D. Howison +1
A counterparty credit limit (CCL) is a limit that is imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. CCLs help institutions to…
The Long Memory of Order Flow in the Foreign Exchange Spot Market
Martin D. Gould, Mason A. Porter, Sam D. Howison
We study the long memory of order flow for each of three liquid currency pairs on a large electronic trading platform in the foreign exchange (FX) spot market. Due to the extremely…
Quasi-Centralized Limit Order Books
Martin D. Gould, Mason A. Porter, Sam D. Howison
A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institutions can only access the trading opportunities offered by counterparties with wh…
Limit Order Books
Martin D. Gould, Mason A. Porter, Stacy Williams +3
Limit order books (LOBs) match buyers and sellers in more than half of the world's financial markets. This survey highlights the insights that have emerged from the wealth of empir…