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State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime; Pakkanen, Mikko S. - In: Quantitative finance 22 (2022) 3, pp. 563-583
Persistent link: https://www.econbiz.de/10013167781
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Algorithmic trading in a microstructural limit order book model
Abergel, Frédéric; Huré, Côme; Pham, Huyên - In: Quantitative finance 20 (2020) 8, pp. 1263-1283
Persistent link: https://www.econbiz.de/10012262662
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Universal features of price formation in financial markets : perspectives from deep learning
Sirignano, Justin; Cont, Rama - In: Quantitative finance 19 (2019) 9, pp. 1449-1459
Persistent link: https://www.econbiz.de/10012194797
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Learning multi-market microstructure from order book data
Ju, Geonhwan; Kim, Kyoung-Kuk; Lim, Dong-Young - In: Quantitative finance 19 (2019) 9, pp. 1517-1529
Persistent link: https://www.econbiz.de/10012194803
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A deep learning approach to estimating fill probabilities in a limit order book
Maglaras, Costis; Moallemi, Ciamac C.; Wang, Muye - In: Quantitative finance 22 (2022) 11, pp. 1989-2003
Persistent link: https://www.econbiz.de/10013490915
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Rule-based trading on an order-driven exchange : a reassessment
Isaac, Alan Glen; Ramaswamy, Vasudeva - In: Quantitative finance 23 (2023) 12, pp. 1871-1886
Persistent link: https://www.econbiz.de/10014452482
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A generative model of a limit order book using recurrent neural networks
Hultin, Hanna; Hult, Henrik; Proutiere, Alexandre; … - In: Quantitative finance 23 (2023) 6, pp. 931-958
Persistent link: https://www.econbiz.de/10014304400
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Modelling the shape of the limit order book
Platania, Federico; Serrano, Pedro; Tapia, Mikel - In: Quantitative finance 18 (2018) 9, pp. 1575-1597
Persistent link: https://www.econbiz.de/10011913208