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Enhancing trading strategies with order book signals

Published:2018-01-02 Issue:1 Volume:25 Page:1-35
ISSN:1350-486X
Container-title:Applied Mathematical Finance
language:en
Short-container-title:Applied Mathematical Finance

Author:

Cartea Álvaro¹²,Donnelly Ryan³,Jaimungal Sebastian⁴

Affiliation:

1. Department of Mathematics, University of Oxford, Oxford, UK

2. Oxford-Man Institute of Quantitative Finance, Oxford, UK

3. Swiss Finance Institute, École Polytechnique Fédérale de Lausanne (EPFL), Lausanne, Switzerland

4. Department of Statistical Sciences, University of Toronto, Toronto, Canada

Publisher

Informa UK Limited

Subject

Applied Mathematics,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/1350486X.2018.1434009

Reference14 articles.

1. High-frequency trading in a limit order book

2. Optimal Execution with Dynamic Order Flow Imbalance

3. An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

4. Algorithmic Trading with Model Uncertainty

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4. Neural stochastic agent‐based limit order book simulation with neural point process and diffusion probabilistic model;Intelligent Systems in Accounting, Finance and Management;2024-04-05

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