Learning multi-market microstructure from order book data

DOI10.1080/14697688.2019.1622305zbMath1420.91418OpenAlexW2961004603MaRDI QIDQ5234377

Dong-Young Lim, Kyoung-Kuk Kim, Geonhwan Ju

Publication date: 26 September 2019

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

Full work available at URL: https://doi.org/10.1080/14697688.2019.1622305

zbMATH Keywords

neural networkhigh-frequency datamarket microstructurelimit order booklead-lag relationship

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• Relation between bid–ask spread, impact and volatility in order-driven markets
• How trading activity scales with company size in the FTSE 100
• Modelling high-frequency limit order book dynamics with support vector machines
• Deep learning for limit order books
• Universal features of price formation in financial markets: perspectives from deep learning

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