On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach

DOI10.1007/s42081-021-00116-0zbMath1477.62293OpenAlexW3167978665MaRDI QIDQ825354

Makoto Takahashi, Takaki Hayashi

Publication date: 17 December 2021

Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42081-021-00116-0

zbMATH Keywords

matrix completionhigh-frequency datavolatilityliquiditycollaborative filteringrecommender systemslatent factor modelslimit-order bookmarket quality

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites Work

• The market impact of a limit order
• Estimating variance from high, low and closing prices
• Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
• Sparse covariance matrix estimation in high-dimensional deconvolution
• The price impact of order book events: market orders, limit orders and cancellations
• Continuous Auctions and Insider Trading
• Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• The Distribution of Realized Exchange Rate Volatility
• An overview of the estimation of large covariance and precision matrices
• Recommender Systems Handbook

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