Enhancing trading strategies with order book signals
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Cites work
- A closed-form execution strategy to target volume weighted average price
- Algorithmic trading with model uncertainty
- Buy Low, Sell High: A High Frequency Trading Perspective
- High-frequency trading in a limit order book
- Incorporating order-flow into optimal execution
- Optimal execution with dynamic order flow imbalance
- Optimal high-frequency trading with limit and market orders
- Risk metrics and fine tuning of high-frequency trading strategies
- Simulating and analyzing order book data: the queue-reactive model
Cited in
(37)- Incorporating signals into optimal trading
- Order scoring, bandit learning and order cancellations
- A continuous and efficient fundamental price on the discrete order book grid
- Capturing the order imbalance with hidden Markov model: a case of SET50 and KOSPI50
- Optimization of stock trading with additional information by limit order book
- A closed-form execution strategy to target volume weighted average price
- Market making with alpha signals
- Optimal liquidation in a level-I limit order book for large-tick stocks
- A stochastic partial differential equation model for limit order book dynamics
- State-dependent Hawkes processes and their application to limit order book modelling
- Optimal trade execution for Gaussian signals with power-law resilience
- On detecting spoofing strategies in high-frequency trading
- Spoofing and price manipulation in order-driven markets
- Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models
- Using full limit order book for price jump prediction
- Deep learning for limit order books
- Market making with minimum resting times
- Mean-Field Game Strategies for Optimal Execution
- Optimal Execution: A Review
- Cross-impact of order flow imbalance in equity markets
- A Mean-Field Game of Market-Making against Strategic Traders
- A data-driven deep learning approach for options market making
- Price Impact Without Averaging
- Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets
- Optimal trading and competition with information in the price impact model
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- Liquidity competition between brokers and an informed trader
- Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making
- Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models
- Optimal Trade Execution Strategy and Implementation with Deterministic Market Impact Parameters
- Decentralised finance and automated market making: execution and speculation
- Algorithmic and high-frequency trading problems for Semi-Markov and Hawkes jump-diffusion models
- Trade Execution Games in a Markovian Environment
- Deep limit order book forecasting: a microstructural guide
- Brokers and informed traders: dealing with toxic flow and extracting trading signals
- Optimal liquidation under indirect price impact with propagator
- Guidelines for building a realistic algorithmic trading market simulator for backtesting while incorporating market impact: agent-based strategies in neural network format, ecosystem dynamics \& detection
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