Using full limit order book for price jump prediction

zbMATH Open1488.62187MaRDI QIDQ5154366FDOQ5154366

Authors: Kairat T. Mynbaev 

Publication date: 4 October 2021

Recommendations

• Modelling the shape of the limit order book
• Enhancing trading strategies with order book signals
• The market impact of a limit order
• Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model
• Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data

zbMATH Keywords

logistic regressionsimulationlimit order bookhigh-frequency tradingtrade jump prediction

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Generalized linear models (logistic models) (62J12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (1)

• Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data

Uses Software

• Matlab

This page was built for publication: Using full limit order book for price jump prediction

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5154366)