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Tag: limit-order-book

pythonpaperlimit-order-bookmarkovafter-work

Introducing Price Dynamics in a Markovian Limit Order Market for after-work quants

Cont & de Larrard (2011) link best-queue sizes to short-term midprice moves in a reduced Markovian LOB. Plain-language intro. Not investment advice.

pythonpaperoptimal-executionlimit-order-bookafter-work

Introducing Optimal Execution Strategies in Limit Order Books with General Shape Functions for after-work quants

Alfonsi, Fruth & Schied (2007) extend LOB execution to general book shapes with resilient discrete-time block trades. Plain-language intro. Not investment advice.

pythonpapermarket-makinglimit-order-bookafter-work

Introducing Market Making under a Weakly Consistent Limit Order Book Model for after-work quants

Law & Viens (2019) study market making under a weakly consistent limit-order-book model—more book-aware than mid-only toys. Plain-language intro. Not investment advice.

pythonpaperlimit-order-bookmicrostructureafter-work

Introducing Limit Order Books (Gould et al. survey) for after-work quants

Gould et al. (2013) survey limit order books: mechanics, stylised facts, and modelling strands. Plain-language map for after-work Python learners. Not investment advice.

pythonpapermarket-makinglimit-order-bookafter-work

Introducing High-frequency trading in a limit order book for after-work quants

Avellaneda & Stoikov (2006) give the canonical inventory-based market-making recipe: reservation price plus intensity-calibrated bid/ask in a limit order book. Plain-language intro. Not investment advice.