Results 71 to 80 of about 1,356,140 (282)
A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics
, 2016 We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). Our model is flexible enough to allow for a dependence of the price dynamics on volumes.
Bayer, Christian +2 more
core +1 more source
Transformers for Limit Order Books
, 2020 We introduce a new deep learning architecture for predicting price movements from limit order books. This architecture uses a causal convolutional network for feature extraction in combination with masked self-attention to update features based on relevant contextual information.
openaire +2 more sources
American Journal of Community Psychology, EarlyView.Abstract This manuscript centers on the experiences of caretakers of minors in Honduran transnational families (TNFs) in which one or both parents emigrated, and of the schoolteachers, professional psychologists, and spiritual leaders working with these families.
Marco Gemignani +2 more
wiley +1 more source
High price impact trade identification and its implication for volatility and price efficiency
Risk SciencesWe include limit order book (LOB) matchedness as a new trade attribute to identify high price impact trades (HPITs). HPITs are trades associated with large price changes relative to their volume proportion.
Georges Dionne, Xiaozhou Zhou
doaj +1 more source
The rain feels different under the same umbrella: Experiences with poverty across LGBTQ subgroups
American Journal of Community Psychology, EarlyView.Abstract Population‐based survey data have demonstrated that LGBTQ communities report varying rates of economic insecurity, yet very little research directly assesses how pathways into and experiences with poverty look different among subgroups at the intersections of sexual orientation and gender identity (SOGI).
Bianca D. M. Wilson, Lillian Nguyen
wiley +1 more source
The role of volume in order book dynamics: a multivariate Hawkes process analysis
, 2016 We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first proposed in Bacry and Muzy (2015) can be successfully used to study complex interactions between the time of arrival of orders and their size, observed ...
Bacry, Emmanuel +2 more
core +1 more source
Limit theorems for limit order books
, 2014 In the first part of the thesis, we define a random state-dependent discrete model of a two-sided limit order book in terms of its key quantities best bid [ask] price and the standing buy [sell] volume density. For a simple scaling that introduces a slow time scaling, that is equivalent to the classical law of large numbers, for the bid/ask prices and ...
openaire +2 more sources
American Journal of Community Psychology, EarlyView.Abstract In Santa Barbara County, the Youth Empowerment Services (YES) Program brought together several government and community‐based organizations, as well as a university‐based evaluation team, to provide pre‐adjudication diversion to youth ages 12 to 17.
Angela Pollard +7 more
wiley +1 more source
American Journal of Medical Genetics Part B: Neuropsychiatric Genetics, EarlyView.ABSTRACT Polygenic risk scores (PRS) estimate individuals' genetic risk for developing multifactorial conditions. Recent genome‐wide association studies have enabled development of psychiatric PRS, which hold potential to streamline diagnosis and treatment of psychiatric conditions.
Lauren A. Ginn +11 more
wiley +1 more source
MathematicsIn recent years, high-frequency trading has become increasingly popular in financial markets, making the dynamic modeling of the limit book and the optimization of market maker strategies become key topics. However, existing studies often lacked detailed
Fei Xie +3 more
doaj +1 more source