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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, I.: History dependent impact models
Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, … - In: Quantitative finance 18 (2018) 6, pp. 903-915
Persistent link: https://www.econbiz.de/10011910928
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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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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
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Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
Achab, Massil; Bacry, E.; Muzy, J. F.; Rambaldi, M. - In: Quantitative finance 18 (2018) 2, pp. 199-212
Persistent link: https://www.econbiz.de/10011905857
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High-dimensional Hawkes processes for limit order books : modelling, empirical analysis and numerical calibration
Lu, Xiaofei; Abergel, Frédéric - In: Quantitative finance 18 (2018) 2, pp. 249-264
Persistent link: https://www.econbiz.de/10011905913
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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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Cross-impact of order flow imbalance in equity markets
Cont, Rama; Cucuringu, Mihai; Zhang, Chao - In: Quantitative finance 23 (2023) 10, pp. 1373-1393
Persistent link: https://www.econbiz.de/10014419165
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The role of fleeting orders on option expiration days
Figueiredo, Antonio; Jain, Pankaj K.; Mishra, Suchismita - In: Quantitative finance 23 (2023) 10, pp. 1511-1529
Persistent link: https://www.econbiz.de/10014419175
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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