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Found 4 papers, 2 papers with code
Heterogenous criticality in high frequency finance: a phase transition in flash crashes
Flash crashes in financial markets have become increasingly important attracting attention from financial regulators, market makers as well as from the media and the broader audience.
Deep Reinforcement Learning for Active High Frequency Trading
The training is performed on three contiguous months of high frequency Limit Order Book data, of which the last month constitutes the validation data.
Deep Learning modeling of Limit Order Book: a comparative perspective
The present work addresses theoretical and practical questions in the domain of Deep Learning for High Frequency Trading.
Sector Neutral Portfolios: Long memory motifs persistence in market structure dynamics
We observe long-memory processes in these structures in the form of power law decays in the number of persistent motifs.
