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Modelling the shape of the limit order book

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorPlatania, Federico
dc.contributor.authorSerrano, Pedro
dc.contributor.authorTapia, Mikel
dc.contributor.funderMinisterio de Economía y Competitividad (España)es
dc.contributor.funderMinisterio de Educación y Ciencia (España)es
dc.date.accessioned2022-04-05T16:40:36Z
dc.date.available2022-04-05T16:40:36Z
dc.date.issued2018-02-23
dc.description.abstractThis 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.sponsorshipThis 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.bibliographicCitationPlatania, F., Serrano, P., & Tapia, M. (2018). Modelling the shape of the limit order book. Quantitative Finance, 18 (9), pp. 1575-1597.es
dc.identifier.doihttps://doi.org/10.1080/14697688.2018.1433312
dc.identifier.issn1469-7688
dc.identifier.publicationfirstpage1575es
dc.identifier.publicationissue9es
dc.identifier.publicationlastpage1597es
dc.identifier.publicationtitleQUANTITATIVE FINANCEes
dc.identifier.publicationvolume18es
dc.identifier.urihttps://hdl.handle.net/10016/34531
dc.identifier.uxxiAR/0000029828
dc.language.isoenges
dc.publisherRoutledgees
dc.relation.projectIDGobierno de España. MEC2016/00118/001es
dc.rights© The Authorses
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.accessRightsopen accesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.ecienciaEmpresaes
dc.subject.jelG01
dc.subject.jelG12
dc.subject.jelG15
dc.subject.jelG32
dc.subject.otherLimit order booken
dc.subject.otherNoise traderen
dc.subject.otherPartial differential equationen
dc.subject.otherHigh-frequency asset pricing modelen
dc.titleModelling the shape of the limit order booken
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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