Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model

DOI10.1080/14697688.2017.1397283zbMath1400.91565arXiv1604.07556OpenAlexW3123490988MaRDI QIDQ4554472

Jean-Philippe Bouchaud, Fabrizio Lillo, Damian Eduardo Taranto, Giacomo Bormetti, Bence Tóth

Publication date: 14 November 2018

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

Full work available at URL: https://arxiv.org/abs/1604.07556

zbMATH Keywords

Markov chainprice formationmarket microstructureforecasting ability

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

A continuous and efficient fundamental price on the discrete order book grid ⋮ State-dependent Hawkes processes and their application to limit order book modelling ⋮ Deep learning for limit order books

Cites Work

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• Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
• Estimation and Modelling Repeated Patterns in High Order Markov Chains with the Mixture Transition Distribution Model
• Hawkes model for price and trades high-frequency dynamics

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