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CME iceberg order detection and prediction
Zotikov, Dmitry; Antonov, Anton - In: Quantitative finance 21 (2021) 11, pp. 1977-1992
Persistent link: https://www.econbiz.de/10012696802
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Forecasting and trading high frequency volatility on large indices
Liu, Fei; Pantelous, Athanasios A.; Mettenheim, … - In: Quantitative finance 18 (2018) 5, pp. 737-748
Persistent link: https://www.econbiz.de/10011907914
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Point and density prediction of intra-day volume using Bayesian linear ACV models : evidence from the Polish stock market
Huptas, Roman - In: Quantitative finance 18 (2018) 5, pp. 749-760
Persistent link: https://www.econbiz.de/10011907915
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Linear models for the impact of order flow on prices, II.: The Mixture Transition Distribution model
Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, … - In: Quantitative finance 18 (2018) 6, pp. 917-931
Persistent link: https://www.econbiz.de/10011910934
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Leveraging a call-put ratio as a trading signal
Houlihan, Patrick; Creamer Guillén, Germán - In: Quantitative finance 19 (2019) 5, pp. 763-777
Persistent link: https://www.econbiz.de/10012194713
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On the predictability of stock market bubbles : evidence from LPPLS confidence multi-scale indicators
Demirer, Rıza; Demos, Guilherme; Gupta, Rangan; … - In: Quantitative finance 19 (2019) 5, pp. 843-858
Persistent link: https://www.econbiz.de/10012194719
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Encoding of high-frequency order information and prediction of short-term stock price by deep learning
Tashiro, Daigo; Matsushima, Hiroyasu; Izumi, Kiyoshi; … - In: Quantitative finance 19 (2019) 9, pp. 1499-1506
Persistent link: https://www.econbiz.de/10012194801
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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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Cross-section without factors : a string model for expected returns
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - In: Quantitative finance 24 (2024) 6, pp. 693-718
Persistent link: https://www.econbiz.de/10015050788
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A closed-form formula characterization of the Epps effect
Buccheri, Giuseppe; Livieri, Giulia; Pirino, Davide; … - In: Quantitative finance 20 (2020) 2, pp. 243-254
Persistent link: https://www.econbiz.de/10012194864