Matches in SemOpenAlex for { <https://semopenalex.org/work/W3022782557> ?p ?o ?g. }
Showing items 1 to 96 of
96
with 100 items per page.
- W3022782557 endingPage "255" @default.
- W3022782557 startingPage "242" @default.
- W3022782557 abstract "A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that the liquidity balance on the best bid/best ask is quite informative for predicting the future market order’s direction. Moreover, we define price jump as a sell (buy) market order arrival which is executed at a price which is smaller (larger) than the best bid (best ask) price at the moment just after the precedent market order arrival. Features are then extracted related to limit order volumes, limit order price gaps, market order information and limit order event information. Logistic regression is applied to predict the price jump from the features of a limit order book. LASSO logistic regression is introduced to help us make variable selection from which we are capable to highlight the importance of different features in predicting the future price jump. In order to get rid of the intraday data seasonality, the analysis is based on two separated datasets: morning dataset and afternoon dataset. Based on an analysis on forty largest French stocks of CAC40, we find that trade sign and market order size as well as the liquidity on the best bid (best ask) are consistently informative for predicting the incoming price jump." @default.
- W3022782557 created "2020-05-13" @default.
- W3022782557 creator A5000201982 @default.
- W3022782557 creator A5004627069 @default.
- W3022782557 creator A5021381756 @default.
- W3022782557 date "2013-01-01" @default.
- W3022782557 modified "2023-10-01" @default.
- W3022782557 title "Price Jump Prediction in a Limit Order Book" @default.
- W3022782557 cites W3121307472 @default.
- W3022782557 cites W4294541781 @default.
- W3022782557 doi "https://doi.org/10.4236/jmf.2013.32024" @default.
- W3022782557 hasPublicationYear "2013" @default.
- W3022782557 type Work @default.
- W3022782557 sameAs 3022782557 @default.
- W3022782557 citedByCount "20" @default.
- W3022782557 countsByYear W30227825572013 @default.
- W3022782557 countsByYear W30227825572014 @default.
- W3022782557 countsByYear W30227825572015 @default.
- W3022782557 countsByYear W30227825572016 @default.
- W3022782557 countsByYear W30227825572017 @default.
- W3022782557 countsByYear W30227825572018 @default.
- W3022782557 countsByYear W30227825572019 @default.
- W3022782557 countsByYear W30227825572020 @default.
- W3022782557 countsByYear W30227825572021 @default.
- W3022782557 countsByYear W30227825572022 @default.
- W3022782557 crossrefType "journal-article" @default.
- W3022782557 hasAuthorship W3022782557A5000201982 @default.
- W3022782557 hasAuthorship W3022782557A5004627069 @default.
- W3022782557 hasAuthorship W3022782557A5021381756 @default.
- W3022782557 hasBestOaLocation W30227825571 @default.
- W3022782557 hasConcept C10138342 @default.
- W3022782557 hasConcept C106159729 @default.
- W3022782557 hasConcept C121332964 @default.
- W3022782557 hasConcept C134306372 @default.
- W3022782557 hasConcept C136764020 @default.
- W3022782557 hasConcept C139676723 @default.
- W3022782557 hasConcept C149782125 @default.
- W3022782557 hasConcept C151201525 @default.
- W3022782557 hasConcept C162324750 @default.
- W3022782557 hasConcept C182306322 @default.
- W3022782557 hasConcept C183582576 @default.
- W3022782557 hasConcept C2780695682 @default.
- W3022782557 hasConcept C33923547 @default.
- W3022782557 hasConcept C37616216 @default.
- W3022782557 hasConcept C41008148 @default.
- W3022782557 hasConcept C62520636 @default.
- W3022782557 hasConcept C76281924 @default.
- W3022782557 hasConcept C90329073 @default.
- W3022782557 hasConceptScore W3022782557C10138342 @default.
- W3022782557 hasConceptScore W3022782557C106159729 @default.
- W3022782557 hasConceptScore W3022782557C121332964 @default.
- W3022782557 hasConceptScore W3022782557C134306372 @default.
- W3022782557 hasConceptScore W3022782557C136764020 @default.
- W3022782557 hasConceptScore W3022782557C139676723 @default.
- W3022782557 hasConceptScore W3022782557C149782125 @default.
- W3022782557 hasConceptScore W3022782557C151201525 @default.
- W3022782557 hasConceptScore W3022782557C162324750 @default.
- W3022782557 hasConceptScore W3022782557C182306322 @default.
- W3022782557 hasConceptScore W3022782557C183582576 @default.
- W3022782557 hasConceptScore W3022782557C2780695682 @default.
- W3022782557 hasConceptScore W3022782557C33923547 @default.
- W3022782557 hasConceptScore W3022782557C37616216 @default.
- W3022782557 hasConceptScore W3022782557C41008148 @default.
- W3022782557 hasConceptScore W3022782557C62520636 @default.
- W3022782557 hasConceptScore W3022782557C76281924 @default.
- W3022782557 hasConceptScore W3022782557C90329073 @default.
- W3022782557 hasIssue "02" @default.
- W3022782557 hasLocation W30227825571 @default.
- W3022782557 hasLocation W302278255710 @default.
- W3022782557 hasLocation W30227825572 @default.
- W3022782557 hasLocation W30227825573 @default.
- W3022782557 hasLocation W30227825574 @default.
- W3022782557 hasLocation W30227825575 @default.
- W3022782557 hasLocation W30227825576 @default.
- W3022782557 hasLocation W30227825577 @default.
- W3022782557 hasLocation W30227825578 @default.
- W3022782557 hasLocation W30227825579 @default.
- W3022782557 hasOpenAccess W3022782557 @default.
- W3022782557 hasPrimaryLocation W30227825571 @default.
- W3022782557 hasRelatedWork W1995449163 @default.
- W3022782557 hasRelatedWork W2024207643 @default.
- W3022782557 hasRelatedWork W2167561727 @default.
- W3022782557 hasRelatedWork W3020827197 @default.
- W3022782557 hasRelatedWork W3121280538 @default.
- W3022782557 hasRelatedWork W3123483250 @default.
- W3022782557 hasRelatedWork W3124226175 @default.
- W3022782557 hasRelatedWork W3126021345 @default.
- W3022782557 hasRelatedWork W3141034373 @default.
- W3022782557 hasRelatedWork W3155634240 @default.
- W3022782557 hasVolume "03" @default.
- W3022782557 isParatext "false" @default.
- W3022782557 isRetracted "false" @default.
- W3022782557 magId "3022782557" @default.
- W3022782557 workType "article" @default.