Online learning of order flow and market impact with Bayesian change-point detection methods

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-05-05 DOI:10.1080/14697688.2024.2337300

Ioanna-Yvonni Tsaknaki, Fabrizio Lillo, Piero Mazzarisi

引用次数: 0

Abstract

Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistence can be attribut...

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利用贝叶斯变化点检测方法在线学习订单流和市场影响

金融订单流具有显著的持续性，即买入（卖出）交易后往往会在较长时间内出现后续买入（卖出）交易。这种持续性可归因于...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.