We study intraday market intermediation in an electronic market before and during a period
of large and temporary selling pressure. On May 6, 2010, US financial markets experienced …

Managing the prediction of metrics in high‐frequency financial markets is a challenging task.
An efficient way is by monitoring the dynamics of a limit order book to identify the information …

We build statistical models to describe how market participants choose the direction, price,
and volume of orders. Our dataset, which spans 16 weeks for four shares traded in Euronext …

Financial investment promotes the market's fast economic growth and gradually becomes a
new trend of social development in the contemporary era. From the national level, financial …

This study aims to develop a probabilistic model using machine learning techniques to
identify high-frequency trading (HFT) based on order book data. The model enables precise …

Abstract Uniswap is a Constant Product Market Maker built around liquidity pools, where
pairs of tokens are exchanged subject to a fee that is proportional to the size of transactions …

Full article: Analysis and modeling of client order flow in limit order markets Skip to Main
Content Taylor and Francis Online homepage Taylor and Francis Online homepage Log in …

Presently, managing prediction of metrics in high frequency financial markets is a
challenging task. An efficient way to do it is by monitoring the dynamics of a limit order book …

High-frequency market making is a liquidity-providing trading strategy that simultaneously
generates many bids and asks for a security at ultra-low latency while maintaining a …

In this article we take a new approach to studying electronic trading and systemic risk by
introducing the HFTE model. We specify an approach in which agents interact through a …