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Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book
16 references·1 citing·39 second hop
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book (2023)Deep order flow imbalance: Extracting alp…Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN) (2021)Generación de series de tiemp…Deep learning for financial applications : A survey (2020)Deep learning for financial a…Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Does Anything Beat 5-Minute R…Low-Latency Trading (2011)Low-Latency TradingOrder imbalance and individual stock returns: Theory and evidence (2003)Order imbalance and individua…Order imbalance, liquidity, and market returns (2002)Order imbalance, liquidity, a…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Trades, quotes, inventories, and information (1988)Trades, quotes, inventories, …Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Dealership market (1980)Dealership marketTHE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Market microstructure (1976)Market microstructureCross-impact of order flow imbalance in equity markets (2023)Cross-impact of order flow im…The Cost of Transacting (1968)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Liquidity and Market Efficiency (2007)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Market liquidity and volume around earnings announcements (1994)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)Fractional Brownian Motions, Fractional Noises and Applications (1968)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)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Insiders' profits, costs of trading, and market efficiency (1986)Market liquidity as a sentiment indicator (2004)A Stochastic Approximation Method (1951)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Deep learning with long short-term memory networks for financial market predictions (2017)Applications of deep learning in stock market prediction: Recent progress (2021)Financial time series forecasting with multi-modality graph neural network (2021)Inferring Trade Direction from Intraday Data (1991)Liquidity Risk and Expected Stock Returns (2001)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Trading and Arbitrage in Cryptocurrency Markets (2018)Noise Trader Risk in Financial Markets (1990)
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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
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2021Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN)1,463 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1980Dealership market965 cited
  • 2002Order imbalance, liquidity, and market returns914 cited
  • 2011Low-Latency Trading880 cited
  • 2012Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes629 cited
  • 2003Order imbalance and individual stock returns: Theory and evidence571 cited
  • 1976Market microstructure555 cited
  • 2020Deep learning for financial applications : A survey550 cited

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  • 1988Trades, quotes, inventories, and information489 cited
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    • 2023Cross-impact of order flow imbalance in equity markets33 cited