Tony Hall

Affiliation not provided to SSRN
SCHOLARLY PAPERS

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Scholarly Papers (5)

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1.

A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market

University of Copenhagen Finance Working Paper No. 2004/03
Number of pages: 38 Posted: 14 Jun 2005
Nikolaus Hautsch and Tony Hall
University of Vienna - Department of Statistics and Operations Research and affiliation not provided to SSRN
Downloads 1,176 (27,608)
Citation 2

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Buy and sell arrival process, order book information, market depth, bivariate

2.

Order Aggressiveness and Order Book Dynamics

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Order Aggressiveness and Order Book Dynamics

University of Copenhagen Economics Working Paper No. 2005/04
Number of pages: 31 Posted: 14 Jun 2005
Nikolaus Hautsch and Tony Hall
University of Vienna - Department of Statistics and Operations Research and affiliation not provided to SSRN
Downloads 756 (50,181)
Citation 5

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Order aggressiveness, multivariate intensity, open limit order book, order book dynamics

Order Aggressiveness and Order Book Dynamics

Empirical Economics, Forthcoming
Posted: 01 Dec 2005
Nikolaus Hautsch and Tony Hall
University of Vienna - Department of Statistics and Operations Research and affiliation not provided to SSRN

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open limit order book, aggressive market orders, aggressive limit orders and cancellations, multivariate intensity

3.

Macro-Econometric System Modelling @ 75

CAMA Working Paper 67/2013
Number of pages: 42 Posted: 11 Oct 2013
Tony Hall, Jan P. A. M. Jacobs and Adrian Pagan
affiliation not provided to SSRN, University of Groningen - Faculty of Economics and Business and University of Sydney
Downloads 80 (452,687)
Citation 3

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4.

Resiliency of the Limit Order Book

Journal of Economic Dynamics and Control, Vol. 61, 2015
Posted: 12 Dec 2015
Danny Lo, Danny Lo and Tony Hall
University of Technology SydneyVINVA Investment Management and affiliation not provided to SSRN

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Resiliency, Liquidity, Limit order book, Liquidity shocks

5.

Modelling the Buy and Sell Intensity in a Limit Order Book Market

Journal of Financial Markets, Vol. 10, No. 3, 2007
Posted: 01 Nov 2008
Tony Hall and Nikolaus Hautsch
affiliation not provided to SSRN and University of Vienna - Department of Statistics and Operations Research

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buy and sell arrival process, order book information, market depth, bivariate autoregressive intensity model, net buy pressure