Online learning of order flow and market impact with Bayesian change-point detection methods-Reference-Cited by-同舟云学术

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

Published:2024-05-05 Issue: Volume: Page:1-16
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Tsaknaki Ioanna-Yvonni¹,Lillo Fabrizio¹²,Mazzarisi Piero³

Affiliation:

1. Scuola Normale Superiore, Piazza dei Cavalieri 7, Pisa, 56126, Italy

2. Department of Mathematics, University of Bologna, Piazza di Porta San Donato 5, Bologna, 40126, Italy

3. Department of Economics and Statistics, University of Siena, Banchi di Sotto 55, Siena, 53100, Italy

Funder

European Union Next Generation EU

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2024.2337300

Reference46 articles.

1. Adams R.P. and MacKay D.J.. Bayesian online changepoint detection. Preprint arXiv:0710.3742 2007.

2. Direct estimation of equity market impact;Almgren R.;Risk,2005

3. Market Impacts and the Life Cycle of Investors Orders

4. Product Partition Models for Change Point Problems

5. The non-linear market impact of large trades: evidence from buy-side order flow

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