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
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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014370626