Learning multi-market microstructure from order book data
Geonhwan Ju, Kyoung-Kuk Kim and Dong-Young Lim
| Year of publication: |
2019
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|---|---|
| Authors: | Ju, Geonhwan ; Kim, Kyoung-Kuk ; Lim, Dong-Young |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 9, p. 1517-1529
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| Subject: | High-frequency data | Lead-lag relationship | Limit order book | Market microstructure | Neural network | Marktmikrostruktur | Wertpapierhandel | Securities trading | Theorie | Theory | Neuronale Netze | Neural networks | Börsenkurs | Share price | Börsenhandel | Stock exchange trading | Geld-Brief-Spanne | Bid-ask spread | Elektronisches Handelssystem | Electronic trading | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1622305 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194803