[Wiley] Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book

hodor12334 Post time 3 day(s) ago | Show all posts |Read mode
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journal£ºMathematical Finance

Authors£ºPetter N. Kolm; Jeremy Turiel; Nicholas Westray

Published date£º2023-10-

DOI£º10.1111/mafi.12413

PDF link£ºhttps://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/mafi.12413

Article link£ºhttps://doi.org/10.1111/mafi.12413

Article Source£ºWiley¡£


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