Capturing the order imbalance with hidden Markov model: a case of SET50 and KOSPI50

DOI10.1007/S10690-019-09285-1MaRDI QIDQ2180280zbMATH OpenOpenAlexWikidataFDO

Authors Polin Wu, Wasin Siwasarit

Publication date 13 May 2020

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-019-09285-1

zbMATH Keywords

HMMhidden Markov modelmarket efficiencyalgorithmic

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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(4)

• An automated financial indices-processing scheme for classifying market liquidity regimes
• Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange
• Forecasting prices from level-I quotes in the presence of hidden liquidity
• Algorithmic trading efficiency and its impact on market-quality

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