Deep Learning for Market by Order Data
Work
Year: 2021
Type: article
Abstract: Market by order (MBO) data – a detailed feed of individual trade instructions for a given stock on an exchange – is arguably one of the most granular sources of microstructure information. While limit... more
Source: Applied Mathematical Finance
Authors Zihao Zhang, Bryan Lim, Stefan Zohren
Institution University of Oxford
Cites: 28
Cited by: 21
Related to: 10
FWCI: 2.992
Citation percentile (by year/subfield): 86.72
Field: Decision Sciences
Domain: Social Sciences
Sustainable Development Goal Partnerships for the goals
Open Access status: hybrid