scholarly journals Estimating Endogenous Liquidity Using Transaction and Order Book Information

2013 ◽  
Author(s):  
Philippe Durand ◽  
Yalin Gündüz ◽  
Isabelle Thomazeau
Keyword(s):  
Order Book

A multilayer model of order book dynamics

2016 ◽  
Vol 2 (3) ◽  
pp. 37-52 ◽  
Author(s):  
Alessio Emanuele Biondo ◽  
Alessandro Pluchino ◽  
Andrea Rapisarda
Keyword(s):  
Order Book ◽  
Multilayer Model

Predicting Liquidity from Order Book Data

2004 ◽  
Author(s):  
Knut Griese ◽  
Alexander Kempf
Keyword(s):  
Order Book

Volatility Regimes and the Provision of Liquidity in Order Book Markets

2004 ◽  
Author(s):  
Helena M. Beltran-Lopez ◽  
Alain C. J. Durré ◽  
Pierre Giot
Keyword(s):  
Order Book ◽  
Volatility Regimes ◽  
Book Markets

scholarly journals Temporal logistic neural Bag-of-Features for financial time series forecasting leveraging limit order book data

2020 ◽  
Vol 136 ◽  
pp. 183-189 ◽  
Author(s):  
Nikolaos Passalis ◽  
Anastasios Tefas ◽  
Juho Kanniainen ◽  
Moncef Gabbouj ◽  
Alexandros Iosifidis
Keyword(s):  
Time Series ◽  
Financial Time Series ◽  
Limit Order Book ◽  
Time Series Forecasting ◽  
Order Book ◽  
Limit Order ◽  
Bag Of Features ◽  
Financial Time
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