High-dimensional statistical learning techniques for time-varying limit order book networks
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More about this item
Keywords
limit order book; high-dimensional statistical learning; liquidity networks; high frequency dynamics; market impact; bootstrap; network;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ISF-2021-09-20 (Islamic Finance)
- NEP-MST-2021-09-20 (Market Microstructure)
- NEP-ORE-2021-09-20 (Operations Research)
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