CME iceberg order detection and prediction-Reference-Cited by-同舟云学术

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CME iceberg order detection and prediction

Published:2020-10-26 Issue:11 Volume:21 Page:1977-1992
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Zotikov Dmitry¹^ORCID,Antonov Anton²^ORCID

Affiliation:

1. Devexperts LLC, Barochnaya 10-1, St. Petersburg 197110, Russia

2. dxFeed Solutions DE GmbH, Mies-van-der-Rohe-Straße 6, München 80807, Germany

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1813904

Reference14 articles.

1. Trades, Quotes and Prices

2. Prediction of Hidden Liquidity in theLimit Order Book of GLOBEX Futures

3. CME, GCC Product Resources. 2019a. Available online at: https://www.cmegroup.com/confluence/display/EPICSANDBOX/GCC+Product+Resources (accessed 15 July 2019).

4. CME, Market by Order (MBO). 2019b. Available online at: https://www.cmegroup.com/education/market-by-order-mbo.html (accessed 15 July 2019).

5. CME, MDP 3.0 - Market by Order - Book Management. 2019c. Available online at: https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Market+by+Order+-+Book+Management (accessed 15 July 2019),

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