A framework to measure the impact of limit orders on the quoted price using particle physics tools

P.M.M. Debie; J.M.E. Pennings; B. Tekinerdogan; C. Catal; S. Demirel; M.E. Verhulst; T.A. Alskaif; M.P. van Leeuwen; Lorenzo Moneta; J. Rembser; Axel Naumann

A framework to measure the impact of limit orders on the quoted price using particle physics tools

P.M.M. Debie
, J.M.E. Pennings
, B. Tekinerdogan
, C. Catal
, S. Demirel
, M.E. Verhulst
, T.A. Alskaif
, M.P. van Leeuwen
, Lorenzo Moneta
, J. Rembser
, Axel Naumann

Research output: Contribution to conference › Conference paper › Academic

Original language	English
Publication status	Published - 2022
Event	NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, April, 25-26, Saint-Louis, U.S.A. - Saint-Louis, United States Duration: 25 Apr 2022 → 26 Apr 2022

Conference/symposium

Conference/symposium	NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, April, 25-26, Saint-Louis, U.S.A.
Country/Territory	United States
City	Saint-Louis
Period	25/04/22 → 26/04/22

HighLO: High Energy Physics Tools in Limit Order Book Analysis
Pennings, J. (Project Leader), Alskaif, T. (PI), Verhulst, M. (PI) & Debie, P. (PI)
1/09/19 → 1/09/26
Project: Research

Cite this

Debie, P. M. M., Pennings, J. M. E., Tekinerdogan, B., Catal, C., Demirel, S., Verhulst, M. E., Alskaif, T. A., van Leeuwen, M. P., Moneta, L., Rembser, J., & Naumann, A. (2022). A framework to measure the impact of limit orders on the quoted price using particle physics tools. Paper presented at NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, April, 25-26, Saint-Louis, U.S.A., Saint-Louis, Missouri, United States.

@conference{6a2e049c082946a6abbb5aba0dda6f93,

title = "A framework to measure the impact of limit orders on the quoted price using particle physics tools",

author = "P.M.M. Debie and J.M.E. Pennings and B. Tekinerdogan and C. Catal and S. Demirel and M.E. Verhulst and T.A. Alskaif and \{van Leeuwen\}, M.P. and Lorenzo Moneta and J. Rembser and Axel Naumann",

year = "2022",

language = "English",

note = "NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, April, 25-26, Saint-Louis, U.S.A. ; Conference date: 25-04-2022 Through 26-04-2022",

}

Debie, PMM , Pennings, JME , Tekinerdogan, B , Catal, C, Demirel, S, Verhulst, ME , Alskaif, TA, van Leeuwen, MP, Moneta, L, Rembser, J & Naumann, A 2022, 'A framework to measure the impact of limit orders on the quoted price using particle physics tools', Paper presented at NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, April, 25-26, Saint-Louis, U.S.A., Saint-Louis, United States, 25/04/22 - 26/04/22.

A framework to measure the impact of limit orders on the quoted price using particle physics tools. / Debie, P.M.M.; Pennings, J.M.E.; Tekinerdogan, B. et al.
2022. Paper presented at NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, April, 25-26, Saint-Louis, U.S.A., Saint-Louis, Missouri, United States.

Research output: Contribution to conference › Conference paper › Academic

TY - CONF

T1 - A framework to measure the impact of limit orders on the quoted price using particle physics tools

AU - Debie, P.M.M.

AU - Pennings, J.M.E.

AU - Tekinerdogan, B.

AU - Catal, C.

AU - Demirel, S.

AU - Verhulst, M.E.

AU - Alskaif, T.A.

AU - van Leeuwen, M.P.

AU - Moneta, Lorenzo

AU - Rembser, J.

AU - Naumann, Axel

PY - 2022

Y1 - 2022

M3 - Conference paper

T2 - NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, April, 25-26, Saint-Louis, U.S.A.

Y2 - 25 April 2022 through 26 April 2022

ER -

Debie PMM , Pennings JME , Tekinerdogan B , Catal C, Demirel S, Verhulst ME et al.. A framework to measure the impact of limit orders on the quoted price using particle physics tools. 2022. Paper presented at NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, April, 25-26, Saint-Louis, U.S.A., Saint-Louis, Missouri, United States.

A framework to measure the impact of limit orders on the quoted price using particle physics tools

Conference/symposium

Projects

HighLO: High Energy Physics Tools in Limit Order Book Analysis

Cite this