"Price Jump Prediction in a Limit Order Book"
written by Ban Zheng, Eric Moulines, Frédéric Abergel,
published by Journal of Mathematical Finance, Vol.3 No.2, 2013
has been cited by the following article(s):
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[8] Deep learning for limit order books
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[13] Master Thesis Finance
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[14] Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization
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[17] Tensor representation in high-frequency financial data for price change prediction
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[18] High frequency market making with machine learning
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[19] Limit order books
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[20] Queue imbalance as a one-tick-ahead price predictor in a limit order book
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[21] Second order proximal methods applied to elastic net penalised vector generalised linear models
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[22] Microstructural changes befor macroeconomic announcements: Predictability of economic surprises in the US market
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[23] Une approche mathématique de l'investissement boursier
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[24] Marouane Anane
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[25] Algorithmic and High-Frequency Trading
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[26] On Jump Risk of Liquidation in Limit Order Book
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[27] Modelling high-frequency limit order book dynamics with support vector machines
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[28] Modelling bid and ask prices using constrained hawkes processes: Ergodicity and scaling limit
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[29] Detecting and Forecasting High Frequency Price Jumps in the Stock Market
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[30] Kernel Modification Effects for Support Vector Machine Applied to Limit Order Book of Nikkei 225 Futures
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[31] Optimal placement in a limit order book
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[32] An empirical study of a no-arbitrage liquidity model in financial markets where limit order books are modeled by a Brownian sheet
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[34] Ergodicity and scaling limit of a constrained multivariate Hawkes process
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