Using full limit order book for price jump prediction

MaRDI QIDQ5154366zbMATH OpenFDO

Authors Kairat T. Mynbaev

Publication date 4 October 2021

zbMATH Keywords

high-frequency tradinglimit order booklogistic regressionsimulationtrade 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)

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Cited in

(1)

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

Describes a project that uses

Uses Software

• Matlab

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