Results 41 to 50 of about 44,591 (304)
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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The Impact of Hidden Liquidity in Limit Order Books [PDF]
SSRN Electronic Journal, 2009 We show that the order submission strategies of liquidity demanders and suppliers change when the observed price dynamics signal that the order book is likely to contain hidden liquidity. We combine the signals of hidden liquidity that can be extracted from the price dynamics with the actual data on hidden liquidity to differentiate between situations ...
Frey, Stefan, Sandas, Patrik
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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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New Directions for Adult and Continuing Education, EarlyView.ABSTRACT Advancing artificial intelligence (AI) has transformed learning and work, yet higher education and professional development programs have not systematically equipped learners for AI‐prevalent environments. This lack of preparation creates uncertainty regarding control, responsibility, trust, and accountability.
Moon‐Heum Cho, Jerusalem Merkebu
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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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Annals of Clinical and Translational Neurology, EarlyView.ABSTRACT Gliomas have undergone a profound redefinition over the past decade, transitioning from morphology‐based entities to biologically coherent diseases defined by molecular alterations. The 2021 WHO Classification of Tumors of the Central Nervous System and its 2022 update formalize this shift, establishing integrated diagnosis as the global ...
Maria Guarnaccia, Sebastiano Cavallaro
wiley +1 more source
Information Content of an Open Limit-Order Book: Indian Evidence
American Business ReviewUsing 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
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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
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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
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Karl Popper and the Mechanisms of Hydrogen Embrittlement
Advanced Engineering Materials, EarlyView.Representation of the beginning of loss of ductility rather than embrittlement. Small concentrations of hydrogen in a diffusible form within iron are well‐established to harm the mechanical integrity of steels. There are theories that attempt to explain the pernicious role of hydrogen.
H. K. D. H. Bhadeshia
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