Price Jump Prediction in a Limit Order Book

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Journal of Mathematical Finance

ISSN Print: 2162-2434
ISSN Online: 2162-2442
www.scirp.org/journal/jmf
E-mail: jmf@scirp.org

Google-based Impact Factor: 0.87
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"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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[2]	Forecasting the Mid-price Movements with High-Frequency LOB: A Dual-Stage Temporal Attention-Based Deep Learning Architecture Arabian Journal for Science and Engineering, 2022 DOI:10.1007/s13369-022-07197-3

[3]	How and When are High-Frequency Stock Returns Predictable? SSRN Electronic Journal , 2022 DOI:10.2139/ssrn.4095405

[4]	How and When are High-Frequency Stock Returns Predictable? SSRN Electronic Journal, 2022 DOI:10.2139/ssrn.4196310

[5]	Predicting intraday jumps in stock prices using liquidity measures and technical indicators Journal of Forecasting, 2021 DOI:10.1002/for.2721

[6]	Algorithmic Sangfroid? The Decline of Sensitivity of Crude Oil Prices to News on Potentially Disruptive Terror Attacks and Political Unrest Sustainability, 2020 DOI:10.3390/su13010052

[7]	Multi-Level Order-Flow Imbalance in a Limit Order Book Market Microstructure and Liquidity, 2018 DOI:10.1142/S2382626619500114

[8]	A high-frequency trade execution model for supervised learning High Frequency, 2018 DOI:10.1002/hf2.10016

[9]	A high‐frequency trade execution model for supervised learning High Frequency, 2018 DOI:10.1002/hf2.10016

[10]	Sequence Classification of the Limit Order Book Using Recurrent Neural Networks SSRN Electronic Journal , 2017 DOI:10.2139/ssrn.3002814

[11]	High Frequency Market Making with Machine Learning SSRN Electronic Journal , 2017 DOI:10.2139/ssrn.2868473

[12]	Sequence classification of the limit order book using recurrent neural networks Journal of Computational Science, 2017 DOI:10.1016/j.jocs.2017.08.018

[13]	Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book Market Microstructure and Liquidity, 2016 DOI:10.1142/S2382626616500064

[14]	Modelling high-frequency limit order book dynamics with support vector machines Quantitative Finance, 2015 DOI:10.1080/14697688.2015.1032546

[15]	Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit SIAM Journal on Financial Mathematics, 2014 DOI:10.1137/130912980

Follow SCIRP

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	customer@scirp.org
	+86 18163351462(WhatsApp)
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