Zobrazeno 1 - 10
of 11 584
pro vyhledávání: '"Limit Order Book"'
We introduce a model for limit order book of a certain security with two main features: First, both the limit orders and market orders for the given asset are allowed to appear and interact with each other. Second, the high frequency trading activiti
Externí odkaz:
http://arxiv.org/abs/2412.16850
Limit order book (LOB) is a dynamic, event-driven system that records real-time market demand and supply for a financial asset in a stream flow. Event stream prediction in LOB refers to forecasting both the timing and the type of events. The challeng
Externí odkaz:
http://arxiv.org/abs/2412.09631
In this paper, we show how $K$-nearest neighbor ($K$-NN) resampling, an off-policy evaluation method proposed in \cite{giegrich2023k}, can be applied to simulate limit order book (LOB) markets and how it can be used to evaluate and calibrate trading
Externí odkaz:
http://arxiv.org/abs/2409.06514
Autor:
Jung, Jiwon, Lee, Kiseop
Managing high-frequency data in a limit order book (LOB) is a complex task that often exceeds the capabilities of conventional time-series forecasting models. Accurately predicting the entire multi-level LOB, beyond just the mid-price, is essential f
Externí odkaz:
http://arxiv.org/abs/2409.02277
Autor:
Lee, Kyungsub
This study explores the prediction of high-frequency price changes using deep learning models. Although state-of-the-art methods perform well, their complexity impedes the understanding of successful predictions. We found that an inadequately defined
Externí odkaz:
http://arxiv.org/abs/2409.14157
Publikováno v:
In Physica A: Statistical Mechanics and its Applications 15 January 2025 658
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
We exploit cutting-edge deep learning methodologies to explore the predictability of high-frequency Limit Order Book mid-price changes for a heterogeneous set of stocks traded on the NASDAQ exchange. In so doing, we release `LOBFrame', an open-source
Externí odkaz:
http://arxiv.org/abs/2403.09267
Autor:
Lokin, Felix, Yu, Fenghui
This paper focuses on computing the fill probabilities for limit orders positioned at various price levels within the limit order book, which play a crucial role in optimizing executions. We adopt a generic stochastic model to capture the dynamics of
Externí odkaz:
http://arxiv.org/abs/2403.02572
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.