A local non-parametric model for trade sign inference
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DOI: 10.1016/j.physa.2004.09.033
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- Ban Zheng & Eric Moulines & Fr'ed'eric Abergel, 2012. "Price Jump Prediction in Limit Order Book," Papers 1204.1381, arXiv.org.
- Ban Zheng & Eric Moulines & Frédéric Abergel, 2013. "Price jump prediction in a limit order book," Post-Print hal-00684716, HAL.
- Mynbaev, Kairat, 2020. "Using full limit order book for price jump prediction," MPRA Paper 101684, University Library of Munich, Germany.
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Keywords
Order submission; Trade classification; K-nearest-neighbor; Non-linear; Memory;All these keywords.
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