no code implementations • 24 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.
no code implementations • 14 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).
