Deep order flow imbalance : extracting alpha at multiple horizons from the limit order book

Petter N. Kolm, Jeremy Turiel, Nicholas Westray

Year of publication:	2023
Authors:	Kolm, Petter N. ; Turiel, Jeremy ; Westray, Nicholas
Published in:	Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 33.2023, 4, p. 1044-1081
Subject:	artificial neural networks \| deep learning \| financial machine learning \| high-frequency trading \| limit order books \| market microstructure \| multiple horizons \| order flow \| return predictability \| Marktmikrostruktur \| Market microstructure \| Wertpapierhandel \| Securities trading \| Neuronale Netze \| Neural networks \| Künstliche Intelligenz \| Artificial intelligence \| Elektronisches Handelssystem \| Electronic trading \| Prognoseverfahren \| Forecasting model \| Börsenkurs \| Share price \| Portfolio-Management \| Portfolio selection \| Kapitalmarkttheorie \| Financial economics

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1111/mafi.12413 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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