Investor sentiment and bitcoin prices
D Koutmos - Review of Quantitative Finance and Accounting, 2023 - Springer
Using a rich data set of transaction-level buy and sell orders from the major digital currency
exchange Coinbase, we formulate a measure for investor sentiment and shed new evidence …
exchange Coinbase, we formulate a measure for investor sentiment and shed new evidence …
State-dependent Hawkes processes and their application to limit order book modelling
M Morariu-Patrichi, MS Pakkanen - Quantitative Finance, 2022 - Taylor & Francis
We study statistical aspects of state-dependent Hawkes processes, which are an extension
of Hawkes processes where a self-and cross-exciting counting process and a state process …
of Hawkes processes where a self-and cross-exciting counting process and a state process …
LOBIN: In-network machine learning for limit order books
Machine learning is driving the evolution of algorithmic trading, but the demands for fast
execution speed remain. Although both aim to increase profitability, embedding more …
execution speed remain. Although both aim to increase profitability, embedding more …
Stock market trend prediction using a functional time series approach
SF Huang, M Guo, MR Chen - Quantitative Finance, 2020 - Taylor & Francis
Thanks to advanced technologies, ultra-high-frequency limit order book (LOB) data are now
available to data analysts. An LOB contains comprehensive information on all transactions …
available to data analysts. An LOB contains comprehensive information on all transactions …
[PDF][PDF] Order book liquidity on crypto exchanges
We analyze intraday liquidity for a range of cryptocurrencies across different exchanges.
Among the liquidity measures used, slippage is most interesting for crypto traders, as it …
Among the liquidity measures used, slippage is most interesting for crypto traders, as it …
Optimal liquidation in a level-i limit order book for large-tick stocks
A Jacquier, H Liu - SIAM Journal on Financial Mathematics, 2018 - SIAM
We propose a framework to study the optimal liquidation strategy in a limit order book for
large-tick stocks, with the spread equal to one tick. All order book events (market orders, limit …
large-tick stocks, with the spread equal to one tick. All order book events (market orders, limit …
Investigating the performance of an order imbalance based trading strategy in a high-frequency trading
G Amir, EM Masoud - Industrial Engineering & Management Systems, 2020 - dbpia.co.kr
One of the most interesting and challenging issues in the field of finance at the moment is
high-frequency trading (HFT). This is because HFT is a relatively new issue for most of the …
high-frequency trading (HFT). This is because HFT is a relatively new issue for most of the …
Quasi-centralized limit order books
A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial
institutions can only access the trading opportunities offered by counterparties with whom …
institutions can only access the trading opportunities offered by counterparties with whom …
Investigating limit order book characteristics for short term price prediction: a machine learning approach
FI Qureshi - arXiv preprint arXiv:1901.10534, 2018 - arxiv.org
With the proliferation of algorithmic high-frequency trading in financial markets, the Limit
Order Book has generated increased research interest. Research is still at an early stage …
Order Book has generated increased research interest. Research is still at an early stage …
Accelerating Machine Learning for Trading Using Programmable Switches
High-frequency trading (HFT) employs cutting-edge hardware for rapid decision-making and
order execution but often relies on simpler algorithms that may miss deeper market trends …
order execution but often relies on simpler algorithms that may miss deeper market trends …