Analyzing the Importance of Broker Identities in the Limit Order Book Through Deep Learning-Reference-Cited by-同舟云学术

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Analyzing the Importance of Broker Identities in the Limit Order Book Through Deep Learning

Published:2021-04-01 Issue:2 Volume:9 Page:89-99
ISSN:2167-6461
Container-title:Big Data
language:en
Short-container-title:Big Data

Author:

Choi Samuel Ping-Man¹,Chan Yin-Hei²,Lam Sze-Sing¹,Hung Hie-Yiin¹

Affiliation:

1. Lee Shau Kee School of Business and Administration, and The Open University of Hong Kong, Homantin Kowloon, Hong Kong.

2. School of Science and Technology, The Open University of Hong Kong, Homantin Kowloon, Hong Kong.

Publisher

Mary Ann Liebert Inc

Subject

Information Systems and Management,Computer Science Applications,Information Systems

Link

https://www.liebertpub.com/doi/pdf/10.1089/big.2020.0053

Reference23 articles.

1. Effects of limit order book information level on market stability metrics

2. Who Benefits from an Open Limit‐Order Book?

3. Anonymity and the Information Content of the Limit Order Book

4. Anonymity, Stealth Trading, and the Information Content of Broker Identity

5. The effect of anonymity on price efficiency: Evidence from the removal of broker identities

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