Short‐term stock price prediction based on limit order book dynamics
Year of publication: |
August 2017
|
---|---|
Authors: | An, Yang ; Chan, Ngai Hang |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 36.2017, 5, p. 541-556
|
Subject: | compound Poisson processes | first passage time | limit order book | maximum empirical likelihood estimator | stock price prediction | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Wertpapierhandel | Securities trading | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Schätzung | Estimation |
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