BMLL Technologies

BMLL Technologies Bayesian Machine Learning on the Limit Order Book. Cambridge University Spin-Off. Follow us on Linked In and Twitter

BMLL Technologies is the leading, independent provider of harmonised, Level 3, 2 and 1 historical data and analytics to the world’s most sophisticated capital market participants, covering global equities, ETFs and futures.

27/11/2019

Bounded Temporal Fairness for FIFO Financial Markets

25/11/2019

Should We Use Closing Prices? Institutional Price Pressure at the Close

Correlated Behavior in Limit Order Cancellations, CO‐Movement in Asset Returns and Commonality in Liquidity
21/11/2019

Correlated Behavior in Limit Order Cancellations, CO‐Movement in Asset Returns and Commonality in Liquidity

We examine whether there is common behavior in limit order cancellation activity, i.e. commonality in cancellation activity, on U.S. exchanges. We then examine whether or not this commonality in canc...

21/11/2019

Market Making with Convex Quotes

We investigate equilibrium properties of a quote-driven market where price is convex in order size. As the degree of convexity increases, the distribu…

21/11/2019

Reinforcement Learning for Market Making in a Multi-agent Dealer Market

Fast and slow cancellations and trader behavior
19/11/2019

Fast and slow cancellations and trader behavior

We investigate how short‐lived liquidity supply due to order cancellations affects the order‐placement behavior of slow traders. When order cancellations increase, slow traders submit fewer and less ...

18/11/2019

IEX’s Speed Bump and Its E�ect on Adverse Selection

13/11/2019

The Multivariate Kyle model: More is different

13/11/2019

Liquidity Provision: Normal Times vs Crashes

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