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Identifying Expensive Trades by Monitoring the Limit Order Book

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  • D'Hondt, Catherine
  • Detollenaere, Benoît

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Suggested Citation

  • D'Hondt, Catherine & Detollenaere, Benoît, 2017. "Identifying Expensive Trades by Monitoring the Limit Order Book," LIDAM Reprints LFIN 2017003, Université catholique de Louvain, Louvain Finance (LFIN).
    • Handle: RePEc:ajf:louvlr:2017003
    Note: In : Journal of Forecasting, Vol. 36, p. 273-290 (2017)
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    Cited by:

    1. Dat Thanh Tran & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2017. "Tensor Representation in High-Frequency Financial Data for Price Change Prediction," Papers 1709.01268, arXiv.org, revised Nov 2017.
    2. Antonio Briola & Silvia Bartolucci & Tomaso Aste, 2024. "Deep Limit Order Book Forecasting," Papers 2403.09267, arXiv.org, revised Mar 2024.

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