Universal features of price formation in financial markets: perspectives from deep learning

DOI10.1080/14697688.2019.1622295zbMath1420.91433arXiv1803.06917OpenAlexW2790822776WikidataQ127547692 ScholiaQ127547692MaRDI QIDQ5234368

Justin A. Sirignano, Rama Cont

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.06917

zbMATH Keywords

high-frequency datamachine learningprice formationmarket microstructurefinancial econometricslimit order bookintraday datadeep learning

Mathematics Subject Classification ID

Computational methods for problems pertaining to game theory, economics, and finance (91-08) Portfolio theory (91G10)

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• Empirical properties of asset returns: stylized facts and statistical issues
• Deep learning for limit order books

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