Results 11 to 20 of about 13,916 (262)
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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Information content of inter-transaction time: A structural approach
Journal of Business Economics and Management, 2015 This study examines the information role of inter-transaction time by employing a structural market microstructure model. By analyzing the intraday data of the KOSPI200 futures market, we find that the inter-transaction time (i.e., time between two ...
Doojin Ryu
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Power laws in market microstructure
SSRN Electronic Journal, 2022 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Çetin, Umut, Waelbroeck, Henri
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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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The Microstructure of the U.S. Treasury Market [PDF]
SSRN Electronic Journal, 2008 This article discusses the microstructure of the U.S. Treasury securities market. Treasury securities are nominally riskless debt instruments issued by the U.S. government. Microstructural analysis is a field of economics/finance that examines the roles played by heterogenous agents, institutional detail, and asymmetric information in the trading ...
Bruce Mizrach, Christopher J. Neely
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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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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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The Microstructure of the Irish Stock Market [PDF]
SSRN Electronic Journal, 2004 This is the first paper to examine the microstructure of the Irish Stock Market empirically and is motivated by the adoption, on June 7th of Xetra the modern pan European auction trading system. Prior to this the exchange utilized an antiquated floor based system.
Chelley-Steeley, Patricia L. +1 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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Carbon dioxide removal and tradeable put options at scale
Environmental Research Letters, 2018 Options are derivative contracts that give the purchaser the right to buy (call options) or sell (put options) a given underlying asset at a particular price at a future date.
Andrew Lockley, D’Maris Coffman
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