Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book

DOI10.1111/MAFI.12413MaRDI QIDQ6187364zbMATH OpenOpenAlexFDO

Authors P. Kolm, Nicholas Westray

Publication date 31 January 2024

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/mafi.12413

zbMATH Keywords

artificial neural networksdeep learninghigh-frequency tradingmarket microstructurereturn predictabilityorder flowlimit order booksmultiple horizonsfinancial machine learning

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Financial markets (91G15)

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Cites work

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• The price impact of order book events: market orders, limit orders and cancellations
• Universal features of price formation in financial markets: perspectives from deep learning

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