3 citations · 6 across the 3 of their papers we have counts for
4 papers
From Glosten-Milgrom to the whole limit order book and applications to financial regulation
Weibing Huang, Sergio Pulido, Mathieu Rosenbaum +2
We build an agent-based model for the order book with three types of market participants: informed trader, noise trader and competitive market makers. Using a Glosten-Milgrom like…
How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program
Weibing Huang, Charles-Albert Lehalle, Mathieu Rosenbaum
The tick value is a crucial component of market design and is often considered the most suitable tool to mitigate the effects of high frequency trading. The goal of this paper is t…
Ergodicity and diffusivity of Markovian order book models: a general framework
Weibing Huang, Mathieu Rosenbaum
We present a general Markovian framework for order book modeling. Through our approach, we aim at providing a tool enabling to get a better understanding of the price formation pro…
Simulating and analyzing order book data: The queue-reactive model
Weibing Huang, Charles-Albert Lehalle, Mathieu Rosenbaum
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with…