LiT: limit order book transformer [PDF]
Frontiers in Artificial IntelligenceWhile the transformer architecture has demonstrated strong success in natural language processing and computer vision, its application to limit order book forecasting, particularly in capturing spatial and temporal dependencies, remains limited.
Yue Xiao +5 more
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Tick Size and Price Reversal after Order Imbalance
International Journal of Financial Studies, 2021 It is well known that intraday returns tend to reverse the following intraday period, conditional on excess buying pressure on the bid or ask side. This suggests that liquidity providers “overreact” to order imbalance (OIB) by initially altering quotes ...
Espen Sirnes, Minh Thi Hong Dinh
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Insider Trading and Intraday Stock Price Behavior on the Tehran Stock Exchange [PDF]
تحقیقات مالی, 2020 Objective: We study intraday patterns of trading volume, size, return, and volatility using the Tehran Stock Exchange (TSE) high frequency data from 2008 to 2015.
Ali Ebrahimnejad +2 more
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Heterogeneous Criticality in High Frequency Finance: A Phase Transition in Flash Crashes
Entropy, 2022 Flash crashes in financial markets have become increasingly important, attracting attention from financial regulators, market makers as well as from the media and the broader audience.
Jeremy D. Turiel, Tomaso Aste
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Practical Application of Deep Reinforcement Learning to Optimal Trade Execution
FinTech, 2023 Although deep reinforcement learning (DRL) has recently emerged as a promising technique for optimal trade execution, two problems still remain unsolved: (1) the lack of a generalized model for a large collection of stocks and execution time horizons ...
Woo Jae Byun +3 more
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Comparing different methods of estimation for Probability of Informed Trading in Tehran Stock Exchange [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2019 Easley and O'Hara (1992) introduce Probability of Informed Trading (PIN) concept to measure the degree of asymmetric information in market. Since then there has been a lot of debate on the accuracy of the calculations for PIN.
reza talebloo +2 more
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An Examination of Herding Behavior in the Brazilian Equity Market
BBR: Brazilian Business Review, 2021 The aim of the present study is to investigate herding behavior in the Brazilian stock market. This bias is quite common in times of market downturns and can cause investors to suffer large losses.
Patrícia Fernanda Correia Lima Signorelli +2 more
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Order Placement Strategy: Trade-off between Market Impact and Non-Execution Risk [PDF]
تحقیقات مالی, 2018 Objective: This contribution proposes an order placement strategy which can be run on simulating continuous financial markets, within an agent-based model framework.
Mohammad Ali Rastegar +2 more
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Fourier Integral Operator Model of Market Liquidity: The Chinese Experience 2009–2010
Mathematics, 2022 This paper proposes and motivates a dynamical model of the Chinese stock market based on linear regression in a dual state-space connected to the original state-space of correlations between the volume-at-price buckets by a Fourier transform.
Peter B. Lerner
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On the correlation structure of microstructure noise in theory and practice [PDF]
, 2008 We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent ...
Diebold, Francis X., Strasser, Georg H.
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