Results 31 to 40 of about 1,356,140 (281)
Machine Learning for Forecasting Mid-Price Movements Using Limit Order Book Data
IEEE Access, 2019 Forecasting the movements of stock prices is one of the most challenging problems in financial markets analysis. In this paper, we use machine learning (ML) algorithms for the prediction of future price movements using limit order book data.
Paraskevi Nousi +7 more
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Deep learning for limit order books [PDF]
Quantitative Finance, 2018 This paper develops a new neural network architecture for modeling spatial distributions (i.e., distributions on R^d) which is computationally efficient and specifically designed to take advantage of the spatial structure of limit order books. The new architecture yields a low-dimensional model of price movements deep into the limit order book ...
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Trading strategies of institutional investors in a limit order book market
MATEC Web of Conferences, 2016 The study aims to examine the trading strategies of institutional investors in limit order book market. The study modifies assumptions of prior studies [1,2] to match actual situations or facilitate calculations.
chen Naiwei, Peng Mingxu
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Optimal inventory management and order book modeling * [PDF]
ESAIM: Proceedings and Surveys, 2019 We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB).
Baradel Nicolas +3 more
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Economies, 2021 The purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond markets and to assess the driving factors behind the magnitude of the spill-overs between different markets.
Linas Jurksas +2 more
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Analyzing an Electronic Limit Order Book [PDF]
The R Journal, 2011 The orderbook package provides facilities for exploring and visualizing the data associated with an order book: the electronic collection of the outstanding limit orders for a financial instrument, e.g. a stock. A limit order is an order to buy or sell a given quantity of stock at a specified limit price or better.
Kane, David, Liu, Andrew, Nguyen, Khanh
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Hydrodynamic limit of order book dynamics
, 2016 In this paper, we establish a fluid limit for a two--sided Markov order book model. Our main result states that in a certain asymptotic regime, a pair of measure-valued processes representing the "sell-side shape" and "buy-side shape" of an order book ...
Deng, S. J., Gao, Xuefeng
core +1 more source
Reinforcement Learning Approaches to Optimal Market Making
Mathematics, 2021 Market making is the process whereby a market participant, called a market maker, simultaneously and repeatedly posts limit orders on both sides of the limit order book of a security in order to both provide liquidity and generate profit.
Bruno Gašperov +3 more
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مجلة كلية التربية للبنات, 2021 This research discusses the verbal follow phenomenon in Al-Amali Abi Al-Qali’s book (seq.356 Hijri). It aims to limit the examples of this phenomenon in the book, and examine it phonologically.
Hind Fadhil Abbas
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Imaging of Biphoton States: Fundamentals and Applications
Advanced Functional Materials, EarlyView.Quantum states of two photons exhibit a rich polarization and spatial structure, which provides a fundamental resource of strongly correlated and entangled states. This review analyzes the physics of these intriguing properties and explores the various techniques and technologies available to measure them, including the state of the art of their ...
Alessio D'Errico, Ebrahim Karimi
wiley +1 more source