Testing for Causality in Continuous Time Bayesian Network Models of High-Frequency Data
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Cited by:
- Dat Thanh Tran & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2017. "Tensor Representation in High-Frequency Financial Data for Price Change Prediction," Papers 1709.01268, arXiv.org, revised Nov 2017.
- Adamantios Ntakaris & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2017. "Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods," Papers 1705.03233, arXiv.org, revised Mar 2020.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-01-29 (Econometrics)
- NEP-ETS-2016-01-29 (Econometric Time Series)
- NEP-MST-2016-01-29 (Market Microstructure)
- NEP-NET-2016-01-29 (Network Economics)
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