Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book (Q6187364)
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scientific article; zbMATH DE number 7797373
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| English | Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book |
scientific article; zbMATH DE number 7797373 |
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Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book (English)
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31 January 2024
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artificial neural networks
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deep learning
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financial machine learning
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high-frequency trading
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limit order books
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market microstructure
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multiple horizons
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order flow
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return predictability
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0.7584675550460815
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0.7484878301620483
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0.7401256561279297
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0.7379093766212463
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