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
doaj +2 more sources
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
Analysis of the Tick Rule and Bulk Volume Classification algorithms in the Brazilian stock market
BBR: Brazilian Business Review, 2023 This study aimed to compare the performance of Tick Rule (TR) and Bulk Volume Classification (BVC) models in classifying assets traded on the Brazilian stock exchange (B3) and indicate which one performs better as an investment decision tool.
Leonardo Souza Siqueira +2 more
doaj +1 more source
Trading Mechanisms and Pricing Error: Evidence from Tehran Stock Exchange [PDF]
تحقیقات مالی, 2016 We study the effect of trading mechanisms of call auctions and continuous trading on pricing errors using data from Tehran Stock Exchange. Consistent with findings from New York Stock Exchange (Amihud and Mendelson, 1987, Stoll and Whaley, 1990), we find
Ali Abrahimnejad, Saman Haghighi
doaj +1 more source
Herd Behavioral in Tehran Stock Exchange Based on Market Microstructure (case study:Mokhaberat Company) [PDF]
تحقیقات مالی, 2016 The purpose of this study is offering a new model based on microstructure models in order to explain herd behavioral in the capital market of Iran.
Mojtaba Kobari +3 more
doaj +1 more source
Analyses of Daily Market Impact Using Execution and Order Book Information
Frontiers in Physics, 2020 We analyzed the Tokyo Stock Exchange (TSE) for a 29-month period from August 2014 to December 2016, including every transaction and order book snapshot, and confirmed through a simple statistical test that the market impact depends on each stock.
Kenta Yamada +2 more
doaj +1 more source
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
doaj +1 more source