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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

Behavioral models of the foreign exchange market : is there any empirical content?

Barroso, João Barata Ribeiro Blanco - 2014

Persistent link: https://www.econbiz.de/10010471996

Multi-agent FX-market modeling by neural networks

Zimmermann, Hans Georg; Grothmann, R.; Neuneier, R. - In: Operations research proceedings 2001 : selected papers …, (pp. 413-420). 2002

Persistent link: https://www.econbiz.de/10001677576

Uncertainty due to infectious diseases and stock-bond correlation

Gillas, Konstantinos Gkillas; Konstantatos, Christoforos; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-18

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock-bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of...

Persistent link: https://www.econbiz.de/10012504028

Short-term stock price trend prediction with imaging high frequency limit order book data

Ye, Wuyi; Yang, Jinting; Chen, Pengzhan - In: International journal of forecasting 40 (2024) 3, pp. 1189-1205

Persistent link: https://www.econbiz.de/10014547269

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

Forecasting renminbi quotes in the revised Chinese FX market : can we get implications for the onshore/offshore spread-behaviour?

Spreckelsen, Christian von; Kunze, Frederik; Windels, … - In: International journal of economic policy in emerging … 7 (2014) 1, pp. 66-76

Persistent link: https://www.econbiz.de/10010413320

Leveraging artificial neural networks for hedging foreign investments in emerging markets : a large-scale empirical study

Suman, Smit - In: International journal of electronic finance : IJEF 9 (2016) 1, pp. 42-62

Persistent link: https://www.econbiz.de/10011721070

Study on exchange rate forecasting using recurrent neural networks

Ye, Yuxi - In: International journal of economics, finance and … 5 (2017) 6, pp. 300-303

Persistent link: https://www.econbiz.de/10011825411

Forecasting realized volatility through financial turbulence and neural networks

Souto, Hugo Gobato; Moradi, Amir - In: Economics and business review 9 (2023) 2, pp. 133-159

Persistent link: https://www.econbiz.de/10014636344

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