Publication: Modelling the shape of the limit order book
dc.affiliation.dpto | UC3M. Departamento de Economía de la Empresa | es |
dc.contributor.author | Platania, Federico | |
dc.contributor.author | Serrano, Pedro | |
dc.contributor.author | Tapia, Mikel | |
dc.contributor.funder | Ministerio de Economía y Competitividad (España) | es |
dc.contributor.funder | Ministerio de Educación y Ciencia (España) | es |
dc.date.accessioned | 2022-04-05T16:40:36Z | |
dc.date.available | 2022-04-05T16:40:36Z | |
dc.date.issued | 2018-02-23 | |
dc.description.abstract | This article develops a parsimonious way to use the shape of the limit order book to produce an estimate of the asset price. The posited model captures and describes the evolution of the distribution of limit orders on the bid and ask sides of the LOB during the trading session and provides estimates of the execution asset price over time. The performance of the model is evaluated against some existing standards from the market microstructure literature during the trading session. Empirical evidence on listed companies confirm a strong contribution of our methodology to the innovation in asset prices, according to the information share coefficients. We also document a significant improvement relative to the Hasbrouck [J. Finance, 1991, 46, 179–207] model when our model estimates are included as regressors. | en |
dc.description.sponsorship | This work was supported by the Junta de Andalucía [project number P12-SEJ-1733]; Fundación Ramón Areces 2016 Social Sciences grant [project number 2016/00513/001]; Spanish Ministry of Economy [project number MEC2016/00118/001]; Spanish Ministry of Education [grant FPU-MEC]; Fonds de la Recherche Scientifique FNRS [T.0014.14]; Junta de Castilla-La Mancha [project number PPII-2014-030-P]. | en |
dc.identifier.bibliographicCitation | Platania, F., Serrano, P., & Tapia, M. (2018). Modelling the shape of the limit order book. Quantitative Finance, 18 (9), pp. 1575-1597. | es |
dc.identifier.doi | https://doi.org/10.1080/14697688.2018.1433312 | |
dc.identifier.issn | 1469-7688 | |
dc.identifier.publicationfirstpage | 1575 | es |
dc.identifier.publicationissue | 9 | es |
dc.identifier.publicationlastpage | 1597 | es |
dc.identifier.publicationtitle | QUANTITATIVE FINANCE | es |
dc.identifier.publicationvolume | 18 | es |
dc.identifier.uri | https://hdl.handle.net/10016/34531 | |
dc.identifier.uxxi | AR/0000029828 | |
dc.language.iso | eng | es |
dc.publisher | Routledge | es |
dc.relation.projectID | Gobierno de España. MEC2016/00118/001 | es |
dc.rights | © The Authors | es |
dc.rights | Atribución-NoComercial-SinDerivadas 3.0 España | * |
dc.rights.accessRights | open access | es |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
dc.subject.eciencia | Empresa | es |
dc.subject.jel | G01 | |
dc.subject.jel | G12 | |
dc.subject.jel | G15 | |
dc.subject.jel | G32 | |
dc.subject.other | Limit order book | en |
dc.subject.other | Noise trader | en |
dc.subject.other | Partial differential equation | en |
dc.subject.other | High-frequency asset pricing model | en |
dc.title | Modelling the shape of the limit order book | en |
dc.type | research article | * |
dc.type.hasVersion | AM | * |
dspace.entity.type | Publication |
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