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Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning
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Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning (2018)Universal Features of Price Formation in …Deep Learning for Mortgage Risk (2018)Deep Learning for Mortgage Ri…Deep learning for limit order books (2018)Deep learning for limit order…Stochastic Gradient Descent in Continuous Time (2017)Stochastic Gradient Descent i…Sequence classification of the limit order book using recurrent neural networks (2017)Sequence classification of th…Market Microstructure Invariance: Empirical Hypotheses (2016)Market Microstructure Invaria…The Price Impact of Order Book Events (2013)The Price Impact of Order Boo…Price Dynamics in a Markovian Limit Order Market (2013)Price Dynamics in a Markovian…The price impact of order book events: market orders, limit orders and cancellations (2011)The price impact of order boo…Statistical Modeling of High-Frequency Financial Data (2011)Statistical Modeling of High-…LOBSTER: Limit Order Book Reconstruction System (2011)LOBSTER: Limit Order Book Rec…A Stochastic Model for Order Book Dynamics (2010)A Stochastic Model for Order …Empirical Market Microstructure (2007)Empirical Market Microstructu…Reinforcement learning for optimized trade execution (2006)Reinforcement learning for op…The Long Memory of the Efficient Market (2004)The Long Memory of the Effici…Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Some comments on Hurst exponent and the long memory processes on capital markets (2008)Correlation of financial markets in times of crisis (2011)Econophysics review: I. Empirical facts (2011)The Econometrics of Financial Markets (2012)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Optimal control of execution costs (1998)Optimal execution of portfolio transactions (2001)Improving financial trading decisions using deep Q-learning: Predicting the number of shares, action strategies, and transfer learning (2018)DeepLOB: Deep Convolutional Neural Networks for Limit Order Books (2019)Recent advances in reinforcement learning in finance (2023)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Optimal high-frequency trading with limit and market orders (2012)Simulating and Analyzing Order Book Data: The Queue-Reactive Model (2014)Universal features of price formation in financial markets: perspectives from deep learning (2019)Continuous Auctions and Insider Trading (1985)The Relation Between Price Changes and Trading Volume: A Survey (1987)Inferring Trade Direction from Intraday Data (1991)Hawkes model for price and trades high-frequency dynamics (2014)Price Discovery without Trading: Evidence from Limit Orders (2019)Measuring the Information Content of Stock Trades (1991)Transactions, Volume, and Volatility (1994)The market impact of a limit order (2011)Universal features of price formation in financial markets: perspectives from deep learning (2021)Illiquidity and stock returns: cross-section and time-series effects (2002)The cost of capital, corporation finance and the theory of investment (2008)Back-Running: Seeking and Hiding Fundamental Information in Order Flows* (2019)Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds (2019)How to measure the liquidity of cryptocurrency markets? (2021)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Inefficient Markets (2000)What really causes large price changes? (2004)An empirical behavioral model of liquidity and volatility (2007)Applied Probability and Queues (1987)Applied Probability and Queues (2003)Limit Order Book as a Market for Liquidity (2005)Limit order books (2013)High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data (2010)A Survey of Systemic Risk Analytics (2012)
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References

  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 2010A Stochastic Model for Order Book Dynamics506 cited
  • 2007Empirical Market Microstructure430 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes370 cited
  • 2004The Long Memory of the Efficient Market365 cited
  • 2013The Price Impact of Order Book Events348 cited
  • 2013Price Dynamics in a Markovian Limit Order Market294 cited
  • 2006Reinforcement learning for optimized trade execution267 cited
  • 2016Market Microstructure Invariance: Empirical Hypotheses219 cited
  • 2011The price impact of order book events: market orders, limit orders and cancellations173 cited
  • 2018Deep learning for limit order books128 cited
  • 2011Statistical Modeling of High-Frequency Financial Data126 cited
  • 2018Deep Learning for Mortgage Risk125 cited
  • 2017Sequence classification of the limit order book using recurrent neural networks104 cited
  • 2011LOBSTER: Limit Order Book Reconstruction System67 cited
  • 2017Stochastic Gradient Descent in Continuous Time

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