Big Data Approach to Realised Volatility Forecasting Using HAR Model Augmented With Limit Order Book and News

2020 ◽  
Author(s):  
Eghbal Rahimikia ◽  
Ser-Huang Poon
Keyword(s):  
Big Data ◽  
Limit Order Book ◽  
Order Book ◽  
Volatility Forecasting ◽  
Limit Order ◽  
Realised Volatility

scholarly journals Temporal logistic neural Bag-of-Features for financial time series forecasting leveraging limit order book data

2020 ◽  
Vol 136 ◽  
pp. 183-189 ◽  
Author(s):  
Nikolaos Passalis ◽  
Anastasios Tefas ◽  
Juho Kanniainen ◽  
Moncef Gabbouj ◽  
Alexandros Iosifidis
Keyword(s):  
Time Series ◽  
Financial Time Series ◽  
Limit Order Book ◽  
Time Series Forecasting ◽  
Order Book ◽  
Limit Order ◽  
Bag Of Features ◽  
Financial Time

Benchmark Dataset for Short-Term Market Prediction of Limit Order Book in China Markets

2021 ◽  
pp. jfds.2021.1.074
Author(s):  
Charles Huang ◽  
Weifeng Ge ◽  
Hongsong Chou ◽  
Xin Du
Keyword(s):  
Limit Order Book ◽  
Benchmark Dataset ◽  
Order Book ◽  
Short Term ◽  
Limit Order

scholarly journals Optimal Placement in a Limit Order Book

2013 ◽  
Author(s):  
Xin Guo ◽  
Adrien de Larrard ◽  
Zhao Ruan
Keyword(s):  
Limit Order Book ◽  
Optimal Placement ◽  
Order Book ◽  
Limit Order
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