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State Dependent Parallel Neural Hawkes Process for Limit Order Book Event Stream Prediction and Simulation
12 references·0 citing·46 second hop
State Dependent Parallel Neural Hawkes Process for Limit Order Book Event Stream Prediction and Simulation (2022)State Dependent Parallel Neural Hawkes Pr…State-dependent Hawkes processes and their application to limit order book modelling (2021)State-dependent Hawkes proces…Get real (2020)Get realGenerating Realistic Stock Market Order Streams (2020)Generating Realistic Stock Ma…High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (2018)High-dimensional Hawkes proce…High frequency trading strategies, market fragility and price spikes: an agent based model perspective (2018)High frequency trading strate…Enhancing trading strategies with order book signals (2018)Enhancing trading strategies …Modelling intensities of order flows in a limit order book (2016)Modelling intensities of orde…Limit order books (2013)Limit order booksAsymmetric and negative return-volatility relationship: The case of the VKOSPI (2012)Asymmetric and negative retur…A Dynamic Model of the Limit Order Book (2009)A Dynamic Model of the Limit …Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIA model of investor sentiment /Expected stock returns and volatility (1987)The journal of financial economics (1993)Are the KOSPI 200 implied volatilities useful in value-at-risk models? (2014)The impacts of public news announcements on intraday implied volatility dynamics (2019)Economic indicators and stock market volatility in an emerging economy (2020)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Price, trade size, and information in securities markets (1987)Optimal trading strategy and supply/demand dynamics (2012)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)How Markets Slowly Digest Changes in Supply and Demand (2009)A Stochastic Model for Order Book Dynamics (2010)Hawkes Processes in Finance (2015)A Scaling Limit for Limit Order Books Driven by Hawkes Processes (2019)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates (2001)Forecasting high-frequency stock returns: a comparison of alternative methods (2022)Manipulation of the Bitcoin market: an agent-based study (2022)An efficient hybrid approach for forecasting real-time stock market indices (2024)Point Processes and Queues (1981)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Is market fragmentation harming market quality? (2011)Infinite-server systems with Hawkes arrivals and Hawkes services (2022)Agent-based Computational Finance (1989)A deep learning framework for financial time series using stacked autoencoders and long-short term memory (2017)NSE Stock Market Prediction Using Deep-Learning Models (2018)Improving Generalization in Reinforcement Learning–Based Trading by Using a Generative Adversarial Market Model (2021)Towards realistic market simulations (2021)A prediction model of stock market trading actions using generative adversarial network and piecewise linear representation approaches (2022)Power-Law Distributions in Empirical Data (2009)Deep learning for limit order books (2018)Power-law distributions in empirical data (2018)DeepLOB: Deep Convolutional Neural Networks for Limit Order Books (2019)Multifractal analysis of financial markets: a review (2019)Order flow composition and trading costs in a dynamic limit order market (1999)High-frequency trading in a limit order book (2008)Mean-Field Game Strategies for Optimal Execution (2019)
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References

  • 1991Efficient Capital Markets: II5,346 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 2013Limit order books310 cited
  • 2018Enhancing trading strategies with order book signals122 cited
  • 2020Generating Realistic Stock Market Order Streams69 cited
  • 2021State-dependent Hawkes processes and their application to limit order book modelling64 cited
  • 2018High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration63 cited
  • 2018High frequency trading strategies, market fragility and price spikes: an agent based model perspective58 cited
  • 2012Asymmetric and negative return-volatility relationship: The case of the VKOSPI45 cited
  • 2020Get real36 cited
  • 2016Modelling intensities of order flows in a limit order book27 cited

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