Sharif Digital Repository

Pre-trade transparency and price discovery is one of the principal functions of financial markets. When the price of a certain asset is specified, sales process begins. With more pre-trade transparency that helps to process of price discovery, Investors trade more safely and thus this cause higher liquidity. One of the tools that helps to increase transparency and price discovery in financial markets is open limited order book. In this study, we deal with the limit order book in Tehran Stock Exchange (TSE) and try to answer the question Whether the information in the limit order book has the predictive power of future short-term returns of stocks in Tehran Stock Exchange and does it help to... 

Market making is a fundamental trading topic in which an agent creates liquidity in an asset by offering to buy and sell on that security. The challenging problem in market-making is related to inventory risk, which may cause the accumulation of unfavorable positions at the end of the market and create losses. Algorithms are designed for making trades to choose the buying and selling prices and the number of orders by predicting the price to minimize the amount of security in the market maker’s portfolio. In this paper, first, we examine the different market-making algorithms and evaluate their performance in the financial markets of Iran. Then, a model using the reinforcement learning...