161 citations · 561 across the 20 of their papers we have counts for
Showing 2015 · q-fin.TRShow all
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q-fin.TR2015
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…
q-fin.TR2015
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…