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### The Price of Order [chapter]

Prosenjit Bose, Pat Morin, André van Renssen
2014 Lecture Notes in Computer Science
Prosenjit Bose, Pat Morin, André van Renssen The Price of Order Prosenjit Bose, Pat Morin, André van Renssen cos(θ/2)−sin(θ/2) cos(θ/2)−sin(θ/2) cos(θ/2)−sin(θ/2)  ...  −2 sin(θ/2) [Bose et al. 2004] θ (4k+5) -graph cos(θ/4) cos(θ/2)−sin(3θ/4) Introduction Introduction Spanning Ratio Lower Bounds Conclusion Spanning Ratio of the Ordered θ (4k+4) -graph Theorem The  ...

### The Price of Order

Prosenjit Bose, Pat Morin, André van Renssen
2016 International journal of computational geometry and applications
Prosenjit Bose, Pat Morin, André van Renssen The Price of Order Prosenjit Bose, Pat Morin, André van Renssen cos(θ/2)−sin(θ/2) cos(θ/2)−sin(θ/2) cos(θ/2)−sin(θ/2)  ...  −2 sin(θ/2) [Bose et al. 2004] θ (4k+5) -graph cos(θ/4) cos(θ/2)−sin(3θ/4) Introduction Introduction Spanning Ratio Lower Bounds Conclusion Spanning Ratio of the Ordered θ (4k+4) -graph Theorem The  ...

### The Price of Order [article]

Prosenjit Bose, Pat Morin, André van Renssen
2016 arXiv   pre-print
We present tight bounds on the spanning ratio of a large family of ordered θ-graphs. A θ-graph partitions the plane around each vertex into m disjoint cones, each having aperture θ = 2 π/m.  ...  For ordered θ-graphs with 4k + 2 and 4k + 5 cones these lower bounds are strictly greater than the worst case spanning ratios of their unordered counterparts.  ...  In other words, we show, for the first time, that obtaining the nice additional properties of the ordered θ-graphs comes at a price.  ...

### The price impact of order book events: market orders, limit orders and cancellations [article]

Zoltan Eisler, Jean-Philippe Bouchaud, Julien Kockelkoren
2010 arXiv   pre-print
While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce.  ...  We provide here an empirical study of the cross-correlation between all these different events, and their respective impact on future price changes.  ...  As discussed in Sec. 2, the origin of the decay of market order price impact is that incoming limit orders maintain an equilibrium with market order flow.  ...

### The Price Impact of Order Book Events

R. Cont, A. Kukanov, S. Stoikov
2013 Journal of Financial Econometrics
We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U.S. stocks.  ...  We show that, over short time intervals, price changes are mainly driven by the order flow imbalance, defined as the imbalance between supply and demand at the best bid and ask prices.  ...  If the order goes in the same direction as the majority of the orders (sgn(e τ ) = sgn(OF I k )), it reinforces the concurrent order flow imbalance and can affect the price.  ...

### The Price Impact of Order Book Events

Rama Cont, Arseniy Kukanov, Sasha Stoikov
2012 Social Science Research Network
We study the price impact of order book events -limit orders, market orders and cancelations -using the NYSE TAQ data for 50 U.S. stocks.  ...  We show that, over short time intervals, price changes are mainly driven by the order flow imbalance, defined as the imbalance between supply and demand at the best bid and ask prices.  ...  If the order goes in the same direction as the majority of the orders (sgn(e τ ) = sgn(OF I k )), it reinforces the concurrent order flow imbalance and can affect the price.  ...

### Order imbalance and the pricing of index futures

Joseph K.W. Fung
2007 Journal of futures markets
Violations of the upper no-arbitrage bound are related to positive order imbalance and violations of the lower no-arbitrage bound are related to negative order imbalance.  ...  This study examines whether the direction and magnitude of the aggregate order-imbalance of the index stocks can explain the arbitrage spread between index futures and the underlying cash index.  ...  Still, these authors do not explore whether the direction of price movement is related to the sign of the order imbalance.  ...

### Order Imbalance and the Pricing of Index Futures

Joseph K. W. Fung
2006 Social Science Research Network
Violations of the upper no-arbitrage bound are related to positive order imbalance and violations of the lower no-arbitrage bound are related to negative order imbalance.  ...  This study examines whether the direction and magnitude of the aggregate order-imbalance of the index stocks can explain the arbitrage spread between index futures and the underlying cash index.  ...  Still, these authors do not explore whether the direction of price movement is related to the sign of the order imbalance.  ...

### The Restriction of Output Order-Prices and Supplies

1917 Journal of the Institute of Brewing
They would simply order the quantity in just 286 THE RESTRICTION OF OUTPUT ORDER-PRICES AND SUPPLIES. towards the end of the quarter.  ...  ORDER-PRICES AKD SUPPLIES. that the price was the price at which the Commission would take over the barley.  ...

### The Price Impact of Generalized Order Flow Imbalance [article]

Yuhan Su, Zeyu Sun, Jiarong Li, Xianghui Yuan
2021 arXiv   pre-print
The two indicators after the improvement of the generalized order flow imbalance construction method both show a better ability to explain changes in stock prices.  ...  Order flow imbalance can explain short-term changes in stock price.  ...  process of order-flow activity in the limit order book affect the price-formation.  ...

### The tick-by-tick dynamical consistency of price impact in limit order books [article]

Damien Challet
2010 arXiv   pre-print
Both the bid-ask spread and the feedback of sequential same-side market orders onto both sides of the order book are essential to ensure consistency at the smallest time scale.  ...  Remarkably, all the stocks investigated in Paris Stock Exchange have dynamically consistent price impact functions.  ...  Feedback A possible way out from inconsistent price impact functions is to take into account the dynamics of the order book, particularly the reaction of the order book to a sequence of market orders of  ...

### How spread changes affect the order book: Comparing the price responses of order deletions and placements to trades [article]

Stephan Grimm, Thomas Guhr
2018 arXiv   pre-print
By looking at the frequencies of the relative amounts of price changing events, we discover that deletions of orders open the bid-ask spread of a stock more often than trades do.  ...  We then look at how these spread changing events affect the prices of stocks, by means of the price response.  ...  In order to compare the effect of limit order deletions to that of trades, we look at events that cause a change in the spread, since trades can only happen at the quote prices of a stock.  ...

### Effects of the Limit Order Book on Price Dynamics

Tolga Cenesizoglu, Georges Dionne, Xiaozhou Zhou
2014 Social Science Research Network
In this paper, we analyze whether the state of the limit order book affects future price movements in line with what recent theoretical models predict.  ...  in the limit order book.  ...  levels of the limit order book results in lower future prices while an increase in the depth ratio based on higher levels results in higher future prices  ...

### Higher Order Beliefs and the Comovement of Asset Prices

Christian Grisse
2009 Social Science Research Network
This paper shows that such 'excessive'comovement can be explained by introducing higher order beliefs -investors'beliefs about the beliefs of other investors -into an otherwise standard asset pricing model  ...  The results of this paper are directly applicable in explaining the robust empirical ...nding of excessive asset price comovement.  ...  To the best of our knowledge, this paper is the …rst to analyze the e¤ects of higher order beliefs on asset price comovement.  ...

### Higher Order Beliefs and the Comovement of Asset Prices

Christian Grisse
2008 Social Science Research Network
This paper shows that such 'excessive'comovement can be explained by introducing higher order beliefs -investors'beliefs about the beliefs of other investors -into an otherwise standard asset pricing model  ...  The results of this paper are directly applicable in explaining the robust empirical ...nding of excessive asset price comovement.  ...  To the best of our knowledge, this paper is the …rst to analyze the e¤ects of higher order beliefs on asset price comovement.  ...
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