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Performance-weighted ensembles of random forests for predicting price impact
16 references·2 citing·38 second hop
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1968The Cost of Transacting1,909 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 2007Liquidity and Market Efficiency984 cited
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  • 2005The use of data mining and neural networks for forecasting stock market returns477 cited
  • 2003Master curve for price-impact function453 cited
  • 2009Optimal execution strategies in limit order books with general shape functions408 cited
  • 2002Modified support vector machines in financial time series forecasting377 cited
  • 2005Direct Estimation of Equity Market Impact363 cited
  • 2005Predicting customer retention and profitability by using random forests and regression forests techniques326 cited
  • 2011Equity Trading in the 21st Century294 cited
  • 2011

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Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets
229 cited

Cited by

  • 2024Artificial intelligence in Finance: a comprehensive review through bibliometric and content analysis342 cited
  • 2019Stock trading decisions using ensemble-based forecasting models: a study of the Indian stock market29 cited