Cross-impact of order flow imbalance in equity markets
From MaRDI portal
Publication:6063318
DOI10.1080/14697688.2023.2236159zbMath1530.91546arXiv2112.13213MaRDI QIDQ6063318
No author found.
Publication date: 7 November 2023
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2112.13213
Cites Work
- The market impact of a limit order
- Estimating covariation: Epps effect, microstructure noise
- Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
- Large data sets and machine learning: applications to statistical arbitrage
- Statistical arbitrage in the US equities market
- The Epps effect revisited
- Continuous Auctions and Insider Trading
- The centrality of groups and classes
- RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
- Strategic Cross-Trading in the U.S. Stock Market*
- Enhancing trading strategies with order book signals
- Emergence of statistically validated financial intraday lead-lag relationships
- Cross-impact and no-dynamic-arbitrage
- How to build a cross-impact model from first principles: theoretical requirements and empirical results
- Deep learning for limit order books
- Encoding of high-frequency order information and prediction of short-term stock price by deep learning
- Tests of Conditional Predictive Ability
- A CLOSER LOOK AT THE EPPS EFFECT
- A characterisation of cross-impact kernels
