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LSTM forecasting foreign exchange rates using limit order book

Ito, Katsuki; Iima, Hitoshi; Kitamura, Yoshihiro - In: Finance research letters 47 (2022) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10013455587

Weighted least squares realized covariation estimation

Li, Yifan; Nolte, Ingmar; Vasios, Michalis; Voev, Valeri; … - In: Journal of banking & finance 137 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013460187

Beliefs aggregation and return predictability

Kyle, Albert S.; Obižaeva, Anna; Wang, Yajun - In: The journal of finance : the journal of the American … 78 (2023) 1, pp. 427-486

Persistent link: https://www.econbiz.de/10014311365

Volatility measurement with pockets of extreme return persistence

Andersen, Torben; Li, Yingying; Todorov, Viktor; Zhou, Bo - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27

Persistent link: https://www.econbiz.de/10014471793

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

The contribution of jump signs and activity to forecasting stock price volatility

Bu, Ruijun; Hizmeri, Rodrigo; Izzeldin, Marwan; Murphy, … - In: Journal of empirical finance 70 (2023), pp. 144-164

Persistent link: https://www.econbiz.de/10014423623

Forecasting stock return volatility : realized volatility-type or duration-based estimators

Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621

Persistent link: https://www.econbiz.de/10014432725

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

From zero to hero : realized partial (co)variances

Bollerslev, Tim; Medeiros, Marcelo C.; Patton, Andrew J.; … - In: Journal of econometrics 231 (2022) 2, pp. 348-360

Persistent link: https://www.econbiz.de/10013464800

Order flow imbalance effects on the German stock market

Hanke, Michael; Weigerding, Michael - In: Business research 8 (2015) 2, pp. 213-238

Order flow imbalance refers to the difference between market buy and sell orders during a given period. This paper is the first study to examine effects of order flow imbalance on returns of stocks traded on the German Xetra trading system on a daily basis. In contrast to previous studies on...

Persistent link: https://www.econbiz.de/10011488149