Results 41 to 50 of about 1,356,140 (281)

Feature Engineering for Mid-Price Prediction With Deep Learning

IEEE Access, 2019
Mid-price movement prediction based on the limit order book data is a challenging task due to the complexity and dynamics of the limit order book. So far, there have been very limited attempts for extracting relevant features based on the limit order ...
Adamantios Ntakaris, Giorgio Mirone, Juho Kanniainen, Moncef Gabbouj, Alexandros Iosifidis   +4 more
doaj   +1 more source

Tick size, liquid stocks and market quality: Evidence from a natural experiment in a unique setting

Borsa Istanbul Review, 2023
We study the causal impacts of a tick size reduction policy in highly liquid stocks, exploiting a unique experiment in Borsa Istanbul leading to substantial exogenous variation in the tick size. Adapting a differences-in-differences strategy with a novel
Güzhan Gülay, Yaşar Ersan
doaj   +1 more source

Decellularized Extracellular Matrix (dECM) in Tendon Regeneration: A Comprehensive Review

Advanced Healthcare Materials, EarlyView.
Decellularized Extracellular Matrix (dECM) offers a promising solution by replicating the native tendon microenvironment and promoting regeneration. This review highlights advances in the decellularization methods, as well as their integration with emerging technologies and translational progress in tendon tissue engineering.
Kumaresan Sakthiabirami, Yeonwoo Park, Seong Kyeong Jo, Min Hee Kim, Jae Hwang Song   +4 more
wiley   +1 more source

Information Content of an Open Limit-Order Book: Indian Evidence

American Business Review
Using the 5-year period (2014-18) limit-order book and trade book data from NSE, this paper investigates the contribution of an open limit-order book towards price discovery and market efficiency.
Mayank Gupta, Saurabh Kumar
doaj   +1 more source

The adaptive market hypothesis and high frequency trading.

PLoS ONE, 2021
This paper uses NASDAQ order book data for the S&P 500 exchange traded fund (SPY) to examine the relationship between one-minute, informational market efficiency and high frequency trading (HFT).
Ke Meng, Shouhao Li
doaj   +1 more source

A Multi Agent Model for the Limit Order Book Dynamics

, 2010
In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book.
A. Zaccaria, C.-K. Peng, D. Cajueiro, D. Cutler, E. Smith, F. Lillo, F. Lillo, G. Iori, G.-F. Gu, H. Hurst, J. Liu, J.-P. Bouchaud, J.D. Farmer, J.D. Farmer, J.D. Farmer, M. Bartolozzi, M. Bartolozzi, M. Bartolozzi, M. Raberto, M.G. Daniels, P. Bak, P. Gopikrishnan, P. Weber, P. Weber, R. Cont, S. Maslov, S. Mike, V. Plerou, X. Gabaix, Y. Liu   +29 more
core   +2 more sources

Recapitulating Endochondral Ossification for Bone Repair: From Development to Engineering Strategy

Advanced Healthcare Materials, EarlyView.
This review summarizes the developmental basis of endochondral ossification (ECO) and its applications in bone tissue engineering (BTE). It first outlines the key biological processes and signaling pathways underlying ECO, then discusses biomaterial‐based engineering strategies derived from these principles, and finally highlights future directions for
Yiqi Su, Zihao He, Qianqian Chen, Long Chen, Caiyi Wei, Zijin Zhou, Jianhao Lin, Hui Li, Dan Xing   +8 more
wiley   +1 more source

A limit order book model for latency arbitrage [PDF]

Mathematics and Financial Economics, 2011
We consider a single security market based on a limit order book and two investors, with different speeds of trade execution. If the fast investor can front-run the slower investor, we show that this allows the fast trader to obtain risk free profits, but that these profits cannot be scaled.
Samuel N. Cohen, Lukasz Szpruch
openaire   +3 more sources

The Future of Research in Cognitive Robotics: Foundation Models or Developmental Cognitive Models?

Advanced Robotics Research, EarlyView.
Research in cognitive robotics founded on principles of developmental psychology and enactive cognitive science would yield what we seek in autonomous robots: the ability to perceive its environment, learn from experience, anticipate the outcome of events, act to pursue goals, and adapt to changing circumstances without resorting to training with ...
David Vernon
wiley   +1 more source

Deep limit order book events dynamics [PDF]

SSRN Electronic Journal, 2020
This paper analyzes the limit order book events arrival dependency structure using high-dimensional Hawkes processes. We seek for recurrent relationships among events from a set of 86 event types which in addition to transactions, includes limit order submissions and cancellations taking place up to the 20th depth level of the order book.
openaire   +1 more source