Deeplob: Deep convolutional neural networks for limit order books
We develop a large-scale deep learning model to predict price movements from limit order
book (LOB) data of cash equities. The architecture utilizes convolutional filters to capture the …
book (LOB) data of cash equities. The architecture utilizes convolutional filters to capture the …
[图书][B] Algorithmic and high-frequency trading
The design of trading algorithms requires sophisticated mathematical models backed up by
reliable data. In this textbook, the authors develop models for algorithmic trading in contexts …
reliable data. In this textbook, the authors develop models for algorithmic trading in contexts …
Deep learning for limit order books
JA Sirignano - Quantitative Finance, 2019 - Taylor & Francis
This paper develops a new neural network architecture for modeling spatial distributions (ie
distributions on R d) which is more computationally efficient than a traditional fully …
distributions on R d) which is more computationally efficient than a traditional fully …
Enhancing trading strategies with order book signals
We use high-frequency data from the Nasdaq exchange to build a measure of volume
imbalance in the limit order (LO) book. We show that our measure is a good predictor of the …
imbalance in the limit order (LO) book. We show that our measure is a good predictor of the …
[HTML][HTML] Incorporating signals into optimal trading
CA Lehalle, E Neuman - Finance and Stochastics, 2019 - Springer
We incorporate a Markovian signal in the optimal trading framework which was initially
proposed by Gatheral et al.(Math. Finance 22: 445–474, 2012) and provide results on the …
proposed by Gatheral et al.(Math. Finance 22: 445–474, 2012) and provide results on the …
[HTML][HTML] Bias in the effective bid-ask spread
B Hagströmer - Journal of Financial Economics, 2021 - Elsevier
The effective bid-ask spread measured relative to the spread midpoint overstates the true
effective bid-ask spread in markets with discrete prices and elastic liquidity demand. The …
effective bid-ask spread in markets with discrete prices and elastic liquidity demand. The …
Optimal signal-adaptive trading with temporary and transient price impact
We study optimal liquidation in the presence of linear temporary and transient price impact
along with taking into account a general price predicting finite-variation signal. We formulate …
along with taking into account a general price predicting finite-variation signal. We formulate …
The micro-price: a high-frequency estimator of future prices
S Stoikov - Quantitative Finance, 2018 - Taylor & Francis
Full article: The micro-price: a high-frequency estimator of future prices Skip to Main Content
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Limit order strategic placement with adverse selection risk and the role of latency
CA Lehalle, O Mounjid - Market Microstructure and Liquidity, 2017 - World Scientific
This paper is split in three parts: first, we use labeled trade data to exhibit how market
participants' decisions depend on liquidity imbalance; then, we develop a stochastic control …
participants' decisions depend on liquidity imbalance; then, we develop a stochastic control …
A stochastic partial differential equation model for limit order book dynamics
R Cont, MS Müller - SIAM Journal on Financial Mathematics, 2021 - SIAM
We propose an analytically tractable class of models for the dynamics of a limit order book,
described through a stochastic partial differential equation with multiplicative noise for the …
described through a stochastic partial differential equation with multiplicative noise for the …