Price Jump Prediction in a Limit Order Book
نویسندگان
چکیده
منابع مشابه
Price Jump Prediction in a Limit Order Book
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that the liquidity balance on the best bid/best ask is quite informative for predicting the future market order’s direction. Moreover, we define price jump as a sell ...
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Presently, managing prediction of metrics in high frequency financial markets is a challenging task. An efficient way to do it is by monitoring the dynamics of a limit order book and try to identify the information edge. This paper describes a new benchmark dataset of high-frequency limit order markets for mid-price prediction. We make publicly available normalized representations of high frequ...
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3 2.3. The embedded discrete-time Hawkes process 5 2.4. Drift of a discrete-time Markov process 6 2.5. A digression on stochastic stability 7 3. Auxiliary Results 8 3.1. V−uniform ergodicity of the intensity of a Hawkes process 8 3.2. V−uniform ergodicity of the intensity of a multivariate Hawkes process 10 3.3. V-uniform ergodicity of a " birth-death " Hawkes process 13 4. Application to order...
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2013
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2013.32024