Concepedia

Order Book Design

Order Book Design is a structured framework that specifies the rules and mechanisms governing the submission, matching, and prioritization of buy and sell orders in a financial derivatives market, distinguishing it from other market design elements by its focus on the architecture and dynamics of the limit order book.

28

Publications

1.1K

Citations

56

Authors

47

Institutions

Publications per year

2017–2026

4

Parents

Publications

28

Order book approach to price impact

Philipp Weber, Bernd Rosenow · Quantitative Finance · 2005 · 174 citations

, , +11

Order book characteristics and the volume–volatility relation: Empirical evidence from a limit order market

Randi Næs, Johannes A. Skjeltorp · Journal of Financial Markets · 2006 · 148 citations

, , +17

Order aggressiveness and order book dynamics

Anthony Hall, Nikolaus Hautsch · Empirical Economics · 2005 · 90 citations · Full text

, , +7

Exploiting the Order Book for Mass Customized Manufacturing Control Systems With Capacity Limitations

Joakim Wikner, Mohamed Mohamed Naim, Martin Rudberg · IEEE Transactions on Engineering Management · 2007 · 85 citations

, , +16

An exploratory analysis of the order book, and order flow and execution on the Saudi stock market

Mohammad Al‐Suhaibani, Lawrence Kryzanowski · Journal of Banking & Finance · 2000 · 71 citations

, , +13

1–5 of 28

Authors

56

  1. ZR
    Zhao Ruan

    Wuhan University, China

    2 publications · 47 citations

    2

    h-index

  2. NH
    Nikolaus Hautsch

    University of Vienna, Austria

    2 publications · 107 citations

    2

    h-index

  3. XM
    Xiangqian Meng

    University of Illinois Urbana-Champaign, United States

    2 publications · 40 citations

    2

    h-index

  4. AK
    Andrei Kirilenko

    University of Cambridge, United Kingdom

    2 publications · 40 citations

    2

    h-index

  5. AD
    Adrien de Larrard

    Université Paris Cité, France

    2 publications · 47 citations

    2

    h-index

1–5 of 56

Institutions

47

  1. University of Technology Sydney

    Sydney, Australia

    3 h-index

    3 publications

    127 citations

  2. University of Illinois Urbana-Champaign

    Urbana, United States

    2 h-index

    3 publications

    54 citations

  3. University of California, Berkeley

    Berkeley, United States

    2 h-index

    4 publications

    94 citations

  4. Université Paris Cité

    Paris, France

    2 h-index

    2 publications

    73 citations

  5. University of Duisburg-Essen

    Essen, Germany

    2 h-index

    5 publications

    126 citations

  6. Institut de Recherche en Gestion

    Créteil, France

    1 h-index

    1 publications

    53 citations

  7. Shenzhen Stock Exchange

    Shenzhen, China

    1 h-index

    1 publications

    41 citations

  8. Laboratoire de Probabilités et Modèles Aléatoires

    Paris, France

    1 h-index

    1 publications

    27 citations

1–8 of 47

Venues

  1. SSRN Electronic Journal

    Repository · 4 publications · 96 citations

    4

    h-index

  2. Journal of Banking & Finance

    3 publications · 144 citations

    3

    h-index

  3. 2

    h-index

  4. The European Physical Journal B

    2 publications · 31 citations

    2

    h-index

  5. Quantitative Finance

    2 publications · 184 citations

    2

    h-index

1–5