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

DOI10.1111/MAFI.12413OpenAlexW4385068299MaRDI QIDQ6187364FDOQ6187364

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

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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)

Cites Work

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