Modeling Stock Price Changes Based on Microstructural Market Data

In modern electronic stock exchanges there is an opportunity to analyze event driven market microstructure data. This data is highly informative and describes physical price formation which makes it possible to find complex patterns in price dynamics. It is very time consuming and hard to find this...

Бүрэн тодорхойлолт

Номзүйн дэлгэрэнгүй

Үндсэн зохиолч:	N. A.  Bilev
Формат:	Artigo
Хэл сонгох:	Russo
Хэвлэсэн:	Government of the Russian Federation, Financial University 2018-11-01
Цуврал:	Финансы: теория и практика
Нөхцлүүд:	stock market trading algorithmic trading market microstructure limit order book machine learning time series investment capital management
Онлайн хандалт:	https://financetp.fa.ru/jour/article/view/757
Шошгууд:	Шошго нэмэх Шошго байхгүй, Энэхүү баримтыг шошголох эхний хүн болох!