Price Jump Prediction in a Limit Order Book

Journals Menu

Follow SCIRP

	+1 323-425-8868
	customer@scirp.org
	+86 18163351462(WhatsApp)
	1655362766

	Paper Publishing WeChat

Journal of Mathematical Finance

ISSN Print: 2162-2434
ISSN Online: 2162-2442
www.scirp.org/journal/jmf
E-mail: jmf@scirp.org

Google-based Impact Factor: 1.39
Citations

Journals Menu

"Price Jump Prediction in a Limit Order Book"
written by Ban Zheng, Eric Moulines, Frédéric Abergel,
published by Journal of Mathematical Finance, Vol.3 No.2, 2013

has been cited by the following article(s):

Google Scholar
CrossRef

[1]	A comparative study of the neural network models for the stock market data classification—A multicriteria optimization approach
	Expert Systems with Applications, 2024

[2]	Modeling of limit order book data with ordered fuzzy numbers
	Applied Soft Computing, 2024

[3]	Hawkes-based cryptocurrency forecasting via Limit Order Book data
	arXiv preprint arXiv …, 2023

[4]	A Signature Transform of Limit Order Book Data for Stock Price Prediction
	IEEE …, 2023

[5]	Prediction-Based Limit Order Trading
	2023

[6]	An Integrated Machine Learning Approach Predicting Stock Values Using Order Book Details
	… of International Conference on Data Science …, 2023

[7]	Modelling a System for Intelligent Forecasting of Trading on Stock Exchanges
	… Systems and Internet …, 2023

[8]	Conditional generators for limit order book environments: Explainability, challenges, and robustness
	Proceedings of the Fourth …, 2023

[9]	DE MÉXICO
	2023

[10]	The prediction of price gap anomaly in Chinese stock market: Evidence from the dependent functional logit model
	Finance Research Letters, 2022

[11]	Forecasting the Mid-price Movements with High-Frequency LOB: A Dual-Stage Temporal Attention-Based Deep Learning Architecture
	Arabian Journal for Science and Engineering, 2022

[12]	Mind the Gaps: Short-Term Crypto Price Prediction
	Available at SSRN …, 2022

[13]	Predicting intraday jumps in stock prices using liquidity measures and technical indicators
	2021

[14]	Real Time Distributed Stock Market Forecasting using Feed-Forward Neural Networks, Market Orders, and Financial indicators
	2021

[15]	Algorithmic Sangfroid? The Decline of Sensitivity of Crude Oil Prices to News on Potentially Disruptive Terror Attacks and Political Unrest
	2021

[16]	Machine Learning for Active Portfolio Management
	The Journal of …, 2021

[17]	A multicriteria optimization approach for the stock market feature selection
	Computer Science and …, 2021

[18]	Big Data in Financial Economics
	2021

[19]	Использование полной книги предельных заказов для прогнозирования скачка цен
	Kazakh Mathematical Journal, 2020

[20]	An Application of Deep Reinforcement Learning for Order Execution
	2020

[21]	Using full limit order book for price jump prediction
	2020

[22]	Artificial Intelligence in Asset Management
	2020

[23]	The impact of stock market price Fourier transform analysis on the Gated Recurrent Unit classifier model
	2020

[24]	Multi-level order-flow imbalance in a limit order book
	2019

[25]	Feature Engineering for Mid-Price Prediction Forecasting with Deep Learning
	2019

[26]	Ateities sandorių vykdymo analizė
	2019

[27]	Feature Engineering for Mid-Price Prediction With Deep Learning
	2019

[28]	Estratégias de investimento baseadas em microestrutura de mercado
	2019

[29]	Modeling the Information Content of the Limit Order Book by Bagging
	2018

[30]	A high‐frequency trade execution model for supervised learning
	High Frequency, 2018

[31]	Predicting Jump Arrivals in Stock Prices Using Neural Networks with Limit Order Book Data
	SSRN, 2018

[32]	Benchmark dataset for mid‐price forecasting of limit order book data with machine learning methods
	Journal of forecasting, 2018

[33]	Kernel Optimization Techniques for Price Prediction
	2018

[34]	Deep learning for limit order books
	2018

[35]	Стратегія біржової високочастотної торгівлі фінансовими активами: ефективність та етика
	2018

[36]	ТОРГ?ВЛЯ ТА Б?РЖОВА Д?ЯЛЬН?СТЬ В УКРА?Н?: СУЧАСНИЙ СТАН, КОНЦЕПЦ?? ? СТРАТЕГ?? РОЗВИТКУ
	2018

[37]	Торгівля та біржова діяльність в Україні: проблеми і стратегії розвитку
	2018

[38]	Интеграция социальных норм в моделирование процесса принятия финансово-экономических решений
	2018

[39]	Master Thesis Finance
	2017

[40]	Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization
	2017

[41]	Comparing fast-and slow-acting features for short-term price predictions
	Thesis, 2017

[42]	Sequence classification of the limit order book using recurrent neural networks
	Journal of Computational Science, 2017

[43]	Tensor representation in high-frequency financial data for price change prediction
	2017

[44]	High frequency market making with machine learning
	2017

[45]	Optimal placement in a limit order book: an analytical approach
	Mathematics and Financial Economics, 2017

[46]	Benchmark dataset for mid-price prediction of limit order book data
	2017

[47]	Limit order books
	2016

[48]	Queue imbalance as a one-tick-ahead price predictor in a limit order book
	Market Microstructure and Liquidity, 2016

[49]	Second order proximal methods applied to elastic net penalised vector generalised linear models
	2016

[50]	Microstructural changes befor macroeconomic announcements: Predictability of economic surprises in the US market
	2016

[51]	Une approche mathématique de l'investissement boursier
	Thèse, 2015

[52]	Marouane Anane
	Thesis, 2015

[53]	Algorithmic and High-Frequency Trading
	2015

[54]	On Jump Risk of Liquidation in Limit Order Book
	中央大學統計研究所學位論文, 2015

[55]	Modelling high-frequency limit order book dynamics with support vector machines
	Quantitative Finance, 2015

[56]	Microstructural changes before Macroeconomic Announcements: Predictability of Economic Surprises in the US market
	2015

[57]	Modelling bid and ask prices using constrained hawkes processes: Ergodicity and scaling limit
	SIAM Journal on Financial Mathematics, 2014

[58]	Detecting and Forecasting High Frequency Price Jumps in the Stock Market
	Available at SSRN 2226455, 2014

[59]	Kernel Modification Effects for Support Vector Machine Applied to Limit Order Book of Nikkei 225 Futures
	2014

[60]	Optimal placement in a limit order book
	Bid, 2013

[61]	An empirical study of a no-arbitrage liquidity model in financial markets where limit order books are modeled by a Brownian sheet
	ProQuest Dissertations Publishing, 2013

[62]	Modeling high-frequency limit order book dynamics with support vector machines
	2013

[63]	Ergodicity and scaling limit of a constrained multivariate Hawkes process
	arXiv preprint arXiv:1301.5007, 2013

[64]	Рекомендовано до друку Вченою радою Дніпровського національного університету імені Олеся Гончара (протокол № 14 від 26.06. 2018) …
	ДА Горовий

[65]	A CASE STUDY ON STOCK VALUE PREDICTION USING ENSEMBLE MACHINE LEARNING MODEL

[1]	Forecasting the Mid-price Movements with High-Frequency LOB: A Dual-Stage Temporal Attention-Based Deep Learning Architecture Arabian Journal for Science and Engineering, 2023 DOI:10.1007/s13369-022-07197-3

[2]	Forecasting the Mid-price Movements with High-Frequency LOB: A Dual-Stage Temporal Attention-Based Deep Learning Architecture Arabian Journal for Science and Engineering, 2022 DOI:10.1007/s13369-022-07197-3

[3]	How and When are High-Frequency Stock Returns Predictable? SSRN Electronic Journal , 2022 DOI:10.2139/ssrn.4095405

[4]	How and When are High-Frequency Stock Returns Predictable? SSRN Electronic Journal, 2022 DOI:10.2139/ssrn.4196310

[5]	Predicting intraday jumps in stock prices using liquidity measures and technical indicators Journal of Forecasting, 2021 DOI:10.1002/for.2721

[6]	Algorithmic Sangfroid? The Decline of Sensitivity of Crude Oil Prices to News on Potentially Disruptive Terror Attacks and Political Unrest Sustainability, 2020 DOI:10.3390/su13010052

[7]	Algorithmic Sangfroid? The Decline of Sensitivity of Crude Oil Prices to News on Potentially Disruptive Terror Attacks and Political Unrest Sustainability, 2020 DOI:10.3390/su13010052

[8]	Multi-Level Order-Flow Imbalance in a Limit Order Book Market Microstructure and Liquidity, 2018 DOI:10.1142/S2382626619500114

[9]	A high-frequency trade execution model for supervised learning High Frequency, 2018 DOI:10.1002/hf2.10016

[10]	A high‐frequency trade execution model for supervised learning High Frequency, 2018 DOI:10.1002/hf2.10016

[11]	Sequence Classification of the Limit Order Book Using Recurrent Neural Networks SSRN Electronic Journal , 2017 DOI:10.2139/ssrn.3002814

[12]	High Frequency Market Making with Machine Learning SSRN Electronic Journal , 2017 DOI:10.2139/ssrn.2868473

[13]	Sequence classification of the limit order book using recurrent neural networks Journal of Computational Science, 2017 DOI:10.1016/j.jocs.2017.08.018

[14]	Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book Market Microstructure and Liquidity, 2016 DOI:10.1142/S2382626616500064

[15]	Modelling high-frequency limit order book dynamics with support vector machines Quantitative Finance, 2015 DOI:10.1080/14697688.2015.1032546

[16]	Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit SIAM Journal on Financial Mathematics, 2014 DOI:10.1137/130912980

Follow SCIRP

	+1 323-425-8868
	customer@scirp.org
	+86 18163351462(WhatsApp)
	1655362766

	Paper Publishing WeChat

Journal of Mathematical Finance

Journal of Mathematical Finance

Journals Menu

Home

About SCIRP

Service

Policies