FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2066708975> ?p ?o ?g. }

• W2066708975 endingPage "495" @default.
• W2066708975 startingPage "481" @default.
• W2066708975 abstract "We investigate a regularity in market order submission strategies for 12 stocks with large market capitalization on the Australian Stock Exchange. The regularity is evidenced by a predictable relationship between the trade sign (trade initiator), size of the trade, and the contents of the limit order book before the trade. We demonstrate this predictability by developing an empirical inference model to classify trades into buyer-initiated and seller-initiated. The model employs a local non-parametric method, k-nearest neighbor, which in the past was used successfully for chaotic time series prediction. The k-nearest neighbor with three predictor variables achieves an average out-of-sample classification accuracy of 71.40%, compared to 63.32% for the linear logistic regression with seven predictor variables. The result suggests that a non-linear approach may produce a more parsimonious trade sign inference model with a higher out-of-sample classification accuracy. Furthermore, for most of our stocks the observed regularity in market order submissions seems to have a memory of at least 30 trading days." @default.
• W2066708975 created "2016-06-24" @default.
• W2066708975 creator A5024857589 @default.
• W2066708975 creator A5054379659 @default.
• W2066708975 date "2005-03-01" @default.
• W2066708975 modified "2023-09-27" @default.
• W2066708975 title "A local non-parametric model for trade sign inference" @default.
• W2066708975 cites W1484864026 @default.
• W2066708975 cites W1544324307 @default.
• W2066708975 cites W1610836425 @default.
• W2066708975 cites W1664294276 @default.
• W2066708975 cites W1966762086 @default.
• W2066708975 cites W1968560054 @default.
• W2066708975 cites W1975750328 @default.
• W2066708975 cites W1993342472 @default.
• W2066708975 cites W2002209591 @default.
• W2066708975 cites W2015189325 @default.
• W2066708975 cites W2016889710 @default.
• W2066708975 cites W2022715583 @default.
• W2066708975 cites W2024844904 @default.
• W2066708975 cites W2026760769 @default.
• W2066708975 cites W2034099719 @default.
• W2066708975 cites W2048337902 @default.
• W2066708975 cites W2058815839 @default.
• W2066708975 cites W2065718124 @default.
• W2066708975 cites W2093362178 @default.
• W2066708975 cites W2104450676 @default.
• W2066708975 cites W2110374348 @default.
• W2066708975 cites W2113469215 @default.
• W2066708975 cites W2116311701 @default.
• W2066708975 cites W2120922870 @default.
• W2066708975 cites W2171217792 @default.
• W2066708975 cites W3105488738 @default.
• W2066708975 cites W3124988054 @default.
• W2066708975 cites W3125090012 @default.
• W2066708975 cites W2136390480 @default.
• W2066708975 doi "https://doi.org/10.1016/j.physa.2004.09.033" @default.
• W2066708975 hasPublicationYear "2005" @default.
• W2066708975 type Work @default.
• W2066708975 sameAs 2066708975 @default.
• W2066708975 citedByCount "6" @default.
• W2066708975 countsByYear W20667089752012 @default.
• W2066708975 countsByYear W20667089752013 @default.
• W2066708975 countsByYear W20667089752015 @default.
• W2066708975 countsByYear W20667089752016 @default.
• W2066708975 crossrefType "journal-article" @default.
• W2066708975 hasAuthorship W2066708975A5024857589 @default.
• W2066708975 hasAuthorship W2066708975A5054379659 @default.
• W2066708975 hasConcept C10138342 @default.
• W2066708975 hasConcept C105795698 @default.
• W2066708975 hasConcept C117251300 @default.
• W2066708975 hasConcept C134306372 @default.
• W2066708975 hasConcept C139676723 @default.
• W2066708975 hasConcept C149782125 @default.
• W2066708975 hasConcept C151956035 @default.
• W2066708975 hasConcept C154945302 @default.
• W2066708975 hasConcept C162324750 @default.
• W2066708975 hasConcept C166957645 @default.
• W2066708975 hasConcept C185592680 @default.
• W2066708975 hasConcept C193445137 @default.
• W2066708975 hasConcept C197640229 @default.
• W2066708975 hasConcept C198531522 @default.
• W2066708975 hasConcept C200870193 @default.
• W2066708975 hasConcept C205649164 @default.
• W2066708975 hasConcept C2776214188 @default.
• W2066708975 hasConcept C2779343474 @default.
• W2066708975 hasConcept C2780299701 @default.
• W2066708975 hasConcept C33923547 @default.
• W2066708975 hasConcept C41008148 @default.
• W2066708975 hasConcept C43617362 @default.
• W2066708975 hasConceptScore W2066708975C10138342 @default.
• W2066708975 hasConceptScore W2066708975C105795698 @default.
• W2066708975 hasConceptScore W2066708975C117251300 @default.
• W2066708975 hasConceptScore W2066708975C134306372 @default.
• W2066708975 hasConceptScore W2066708975C139676723 @default.
• W2066708975 hasConceptScore W2066708975C149782125 @default.
• W2066708975 hasConceptScore W2066708975C151956035 @default.
• W2066708975 hasConceptScore W2066708975C154945302 @default.
• W2066708975 hasConceptScore W2066708975C162324750 @default.
• W2066708975 hasConceptScore W2066708975C166957645 @default.
• W2066708975 hasConceptScore W2066708975C185592680 @default.
• W2066708975 hasConceptScore W2066708975C193445137 @default.
• W2066708975 hasConceptScore W2066708975C197640229 @default.
• W2066708975 hasConceptScore W2066708975C198531522 @default.
• W2066708975 hasConceptScore W2066708975C200870193 @default.
• W2066708975 hasConceptScore W2066708975C205649164 @default.
• W2066708975 hasConceptScore W2066708975C2776214188 @default.
• W2066708975 hasConceptScore W2066708975C2779343474 @default.
• W2066708975 hasConceptScore W2066708975C2780299701 @default.
• W2066708975 hasConceptScore W2066708975C33923547 @default.
• W2066708975 hasConceptScore W2066708975C41008148 @default.
• W2066708975 hasConceptScore W2066708975C43617362 @default.
• W2066708975 hasLocation W20667089751 @default.
• W2066708975 hasOpenAccess W2066708975 @default.
• W2066708975 hasPrimaryLocation W20667089751 @default.
• W2066708975 hasRelatedWork W1047907685 @default.
• W2066708975 hasRelatedWork W1490169843 @default.
• W2066708975 hasRelatedWork W1567992464 @default.

• next