Search Results for author: Martin D. Gould

Found 2 papers, 0 papers with code

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

no code implementations14 Jul 2019 Ke Xu, Martin D. Gould, Sam D. Howison

We study the multi-level order-flow imbalance (MLOFI), which is a vector quantity that measures the net flow of buy and sell orders at different price levels in a limit order book (LOB).

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

no code implementations24 Sep 2017 Martin D. Gould, Nikolaus Hautsch, Sam D. Howison, Mason A. Porter

A counterparty credit limit (CCL) is a limit that is imposed by a financial institution to cap its maximum possible exposure to a specified counterparty.

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