0458944 20240103212157.820160425235959.9 84964422446 000382559300008 10.1080/14697688.2016.1149612 23 s. P cav_un_epca*00398981469-7688169 (2016)1423-1444 Limit Order Market Stochastic Models Econometric Methods cav_un_auth*0101206 Ekonometrie Department of Econometrics E E Department of Econometrics 100 Šmíd Martin UTIA-B CZ K Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2016/E/smid-0458944.pdf cav_un_auth*0281000 GBP402/12/G097 GA ČR CZ A unit volume zero-intelligence (ZI) model is defined and the distribution of its L1 process is recursively described. Further, a generalized ZI model allowing non-unit market orders, shifts of quotes and general in-spread events is proposed and a formula for the conditional distribution of its quotes is given, together with a formula for price impact. For both the models, MLE estimators are formulated and shown to be consistent and asymptotically normal. Consequently, the estimators are applied to data of six US stocks from nine electronic markets. It is found that more complex variants of the models, despite being significant, do not give considerably better predictions than their simple versions with constant intensities. BB 2017 1 RVO:67985556 http://hdl.handle.net/11104/0260311 S 3+4 Article Business Finance|Economics|Mathematics Interdisciplinary Applications|Social Sciences Mathematical Methods SOCIALSCIENCES.MATHEMATICALMETHODS|ECONOMICS|BUSINESS.FINANCE|MATHEMATICS.INTERDISCIPLINARYAPPLICATIONS 1.060 0.125 7.4 0.00483 0.502 1857 0.659 Q1 0.825 112 Q2 35.687 40.7 Q3 Q2 51.441 2016 84964422446 SCOPUS 000382559300008 WOS cav_un_epca*0039898 Quantitative Finance 1469-7688 1469-7696 Roč. 16 č. 9 2016 1423 1444