Martin Gould

University of Oxford - Mathematical Institute

Andrew Wiles Building

Radcliffe Observatory Quarter (550)

Oxford, OX2 6GG

United Kingdom

  • University of Oxford - Mathematical Institute

SCHOLARLY PAPERS

6

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13

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12

Scholarly Papers (6)

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1.

Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book

Number of pages: 30 Posted: 12 Dec 2015
Martin Gould, Julius Bonart and Julius Bonart
University of Oxford - Mathematical Institute and Imperial College London, CFM-Imperial Institute of Quantitative FinanceUniversity College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 430 (93,389)
Citation 13

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Price prediction, queue imbalance, high-frequency trading, limit order books, market microstructure

2.

Multi-Level Order-Flow Imbalance in a Limit Order Book

Number of pages: 32 Posted: 12 Nov 2019
Ke Xu, Martin Gould and Sam Howison
BNP Paribas, London, University of Oxford - Mathematical Institute and University of Oxford
Downloads 277 (151,059)
Citation 3

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multi-level order-flow imbalance, limit order book, price formation, market microstructure

3.

Latency and Liquidity Provision in a Limit Order Book

Number of pages: 23 Posted: 14 Nov 2015 Last Revised: 25 Jun 2016
Julius Bonart, Julius Bonart and Martin Gould
Imperial College London, CFM-Imperial Institute of Quantitative FinanceUniversity College London - Financial Computing and Analytics Group, Department of Computer Science and University of Oxford - Mathematical Institute
Downloads 140 (278,732)
Citation 2

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liquidity, limit order books, high-frequency, flash crash, price impact, data

4.

Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading

CFS Working Paper, WP No. 581
Number of pages: 29 Posted: 27 Sep 2017 Last Revised: 23 Jan 2021
Martin Gould, Nikolaus Hautsch, Sam Howison and Mason A. Porter
University of Oxford - Mathematical Institute, University of Vienna - Department of Statistics and Operations Research, University of Oxford and California Institute of Technology
Downloads 131 (293,154)
Citation 2

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Counterparty Credit Limits; Counterparty Credit Risk; Price Formation; Market Design; Foreign Exchange

5.

Quasi-Centralized Limit Order Books

Number of pages: 43 Posted: 02 Feb 2015 Last Revised: 10 Oct 2016
Martin Gould, Mason Alexander Porter and Sam Howison
University of Oxford - Mathematical Institute, University of Oxford and University of Oxford
Downloads 76 (418,316)
Citation 2

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Limit order books, quasi-centralized liquidity, market microstructure, foreign exchange, curve collapse

6.

The Long Memory of Order Flow in the Foreign Exchange Spot Market

Number of pages: 38 Posted: 18 Apr 2015 Last Revised: 23 Oct 2015
Martin Gould, Mason Alexander Porter and Sam Howison
University of Oxford - Mathematical Institute, University of Oxford and University of Oxford
Downloads 72 (430,839)
Citation 6

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Long memory, autocorrelation, foreign exchange market, order flow, market microstructure