Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book (Q6187364)
From MaRDI portal
scientific article; zbMATH DE number 7797373
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book |
scientific article; zbMATH DE number 7797373 |
Statements
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book (English)
0 references
31 January 2024
0 references
artificial neural networks
0 references
deep learning
0 references
financial machine learning
0 references
high-frequency trading
0 references
limit order books
0 references
market microstructure
0 references
multiple horizons
0 references
order flow
0 references
return predictability
0 references
0 references
0 references
0 references
0 references
0 references
0 references
