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Deep order flow imbalance : extracting alpha at multiple horizons from the limit order book

Kolm, Petter N.; Turiel, Jeremy; Westray, Nicholas - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1044-1081

Persistent link: https://www.econbiz.de/10014370626

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

Mid-Price Prediction in a Limit Order Book

Palguna, Deepan - 2015

We propose several nonparametric predictors of the mid-price in a limit order book, based on different features constructed from the order book data observed contemporaneously and in the recent past. We evaluate our predictors in the context of an order execution task by constructing order...

Persistent link: https://www.econbiz.de/10013031095

Reducing transaction costs using intraday forecasts of limit order book slopes

Ahabchane, Chahid; Cenesizoglu, Tolga; Grass, Gunnar; … - 2021

Persistent link: https://www.econbiz.de/10012615644

Trader Lead-Lag Networks and Order Flow Prediction

Challet, Damien - 2016

Using trader-resolved data, we document lead-lag relationships between groups of investors in the foreign exchange market. Because these relationships are systematic and persistent, order flow is predictable from trader-resolved order flow. We thus propose a generic method to exploit trader...

Persistent link: https://www.econbiz.de/10012983158

Price Jump Prediction in Limit Order Book

Zheng, Ban - 2012

, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that … liquidity balance on best bid/best ask is quite informative for predicting the future market order's direction. Moreover, we de … market order size as well as the liquidity on the best bid (best ask) are consistently informative for predicting the …

Persistent link: https://www.econbiz.de/10013108794

Non-Parametric Prediction of the Mid-Price Dynamics in a Limit Order Book

Palguna, Deepan - 2013

Many securities markets are organized as double auctions where each incoming limit order --- i.e., an order to buy or sell at a specific price --- is stored in a data structure called the limit order book. A trade happens whenever a market order arrives --- i.e., an order to buy or sell at the...

Persistent link: https://www.econbiz.de/10013091404

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

High-frequency information content in end-user foreign exchange order flows

Marsh, Ian; Miao, Teng - In: The European journal of finance 18 (2012) 9/10, pp. 865-884

Persistent link: https://www.econbiz.de/10009691776

Order flow imbalance effects on the German stock market

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

results are partly confirmatory. In addition, we provide evidence for size and liquidity effects and analyze changes in …

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

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