Price jump prediction in limit order book

Ban Zheng
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Ban Zheng: S2A - Signal, Statistique et Apprentissage - LTCI - Laboratoire Traitement et Communication de l'Information - IMT - Institut Mines-Télécom [Paris] - Télécom Paris - IMT - Institut Mines-Télécom [Paris] - IP Paris - Institut Polytechnique de Paris, TSI - Département Traitement du Signal et des Images - Télécom ParisTech - CNRS - Centre National de la Recherche Scientifique

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Date: 2011-12
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Published in Quantitative Methods in Finance, Dec 2011, Sydney, Australia

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02286454

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