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Publications by Thierry Foucault

Limit Order Book as a Market for Liquidity

SSRN Electronic Journal

English

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Ex-Dividend Trading Deadlines and Limit Order Book Liquidity

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Forecasting Limit Order Book Liquidity Supply–demand Curves With Functional Autoregressive Dynamics

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Trading Activity and Liquidity Supply in a Pure Limit Order Book Market. An Empirical Analysis Using a Multivariate Count Data Model

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Liquidity Shocks and Order Book Dynamics

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The Information Content of a Limit Order Book: The Case of an FX Market

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Optimal Execution in a Limit Order Book and an Associated Microstructure Market Impact Model

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Analyzing an Electronic Limit Order Book

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Price Jump Prediction in a Limit Order Book

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