This paper provides an up‐to‐date survey of the main theoretical developments in
autoregressive conditional duration (ACD) modeling and empirical studies using financial …

This paper investigates why traders hide their orders and how other traders respond to
hidden depth. Using a logit model, we provide empirical findings suggesting that traders use …

In this paper, we study the determinants of order aggressiveness and traders' order
submission strategy in an open limit order book market. Applying an order classification …

This paper applies the asymmetric autoregressive conditional duration (AACD) model of
Bauwens and Giot (2003) to estimate the probability of informed trading (PIN) using …

In this paper, we model the buy and sell arrival process in the limit order book market at the
Australian Stock Exchange. Using a bivariate autoregressive intensity model we analyze the …

We study the relation between foreign exchange market quality and both trading activity and
dealer concentration by considering two currency pairs with significant differences along …

In this paper, we investigate the buy and sell arrival process in a limit order book market.
Using an intensity framework allows to estimate the simultaneous buy and sell intensity and …

This paper studies the effects of pre-trade quote transparency on spread, price discovery
and liquidity in an artificial limit order market with heterogeneous trading rules. Our agent …

We examine order type execution speed and costs for US equity traders. Marketable orders
that execute slower exhibit lower execution costs. Those who remove liquidity faster and pay …

This chapter investigates the interrelation between pre-trade quote transparency and
stylised properties of order-driven markets populated by traders with heterogeneous beliefs …