Limit Order Book; High Frequency Trading; Price Jump; Trade-Through; Logistic Regression; LASSO - Articles

Price Jump Prediction in a Limit Order Book (Articles)

Ban Zheng, Eric Moulines, Frédéric Abergel

Journal of Mathematical Finance Vol.3 No.2, May 24, 2013

DOI: 10.4236/jmf.2013.32024 9,610 Downloads 20,296 Views Citations
Execution and Block Trade Pricing with Optimal Constant Rate of Participation (Articles)

Olivier Guéant

Journal of Mathematical Finance Vol.4 No.4, August 28, 2014

DOI: 10.4236/jmf.2014.44023 3,981 Downloads 5,907 Views Citations
Are Mispricings Long-Lasting or Short-Lived? Evidence from S & P 500 Index ETF Options (Articles)

Feng Jiao

Theoretical Economics Letters Vol.8 No.3, February 12, 2018

DOI: 10.4236/tel.2018.83027 1,015 Downloads 2,985 Views Citations
This article belongs to the Special Issue on Financial Derivatives
Comparison between Common Statistical Modeling Techniques Used in Research, Including: Discriminant Analysis vs Logistic Regression, Ridge Regression vs LASSO, and Decision Tree vs Random Forest (Articles)

Azad Abdulhafedh

Open Access Library Journal Vol.9 No.2, February 18, 2022

DOI: 10.4236/oalib.1108414 879 Downloads 6,112 Views Citations
Development and Validation of an Objective Risk Scoring System for Assessing the Likelihood of Virus Introduction in Porcine Reproductive and Respiratory Syndrome Virus-Free Sow Farms in the US (Articles)

Derald J. Holtkamp, Hui Lin, Chong Wang, Dale D. Polson

Open Journal of Veterinary Medicine Vol.3 No.2, June 6, 2013

DOI: 10.4236/ojvm.2013.32026 4,450 Downloads 7,067 Views Citations
Pricing and Hedging Options Conditional on Market Activity (Articles)

Alec Kercheval, Navid Salehy, Nima Salehy

Journal of Mathematical Finance Vol.12 No.1, December 29, 2021

DOI: 10.4236/jmf.2022.121001 408 Downloads 1,395 Views Citations
The Social Determinants of Food Purchasing Practices: Who Chooses Price-before-Health, Taste-before-Price or Organic Foods in Australia? (Articles)

Paul R. Ward, Loreen Mamerow, Julie Henderson, Anne W. Taylor, Samantha B. Meyer, John Coveney

Food and Nutrition Sciences Vol.3 No.4, April 18, 2012

DOI: 10.4236/fns.2012.34066 8,434 Downloads 15,095 Views Citations
Measuring the Intraday Jump Tail Risk of Financial Asset Price with Noisy High Frequency Data (Articles)

Chao Yu, Xujie Zhao, Feng Zhang

Open Journal of Statistics Vol.7 No.1, February 20, 2017

DOI: 10.4236/ojs.2017.71006 1,484 Downloads 3,041 Views Citations
Penalized Flexible Bayesian Quantile Regression (Articles)

Ali Alkenani, Rahim Alhamzawi, Keming Yu

Applied Mathematics Vol.3 No.12A, December 31, 2012

DOI: 10.4236/am.2012.312A296 5,026 Downloads 8,987 Views Citations
This article belongs to the Special Issue on Probability and Its Applications
A New Way to Compute the Probability of Informed Trading (Articles)

Antoine Bambade

Journal of Mathematical Finance Vol.9 No.4, October 25, 2019

DOI: 10.4236/jmf.2019.94032 1,756 Downloads 6,705 Views Citations
Enterprise Financial Early Warning Based on Lasso Regression Screening Variables (Articles)

Xi Nie, Guangming Deng

Journal of Financial Risk Management Vol.9 No.4, December 8, 2020

DOI: 10.4236/jfrm.2020.94024 915 Downloads 2,594 Views Citations
The Long Memory of the Jump Intensity of the Price Process (Articles)

Yizhuang Tian, Dongyang Shi, Handong Li

Journal of Mathematical Finance Vol.11 No.2, April 1, 2021

DOI: 10.4236/jmf.2021.112009 558 Downloads 1,598 Views Citations
Logistic and SVM Credit Score Models Based on Lasso Variable Selection (Articles)

Qingqing Li

Journal of Applied Mathematics and Physics Vol.7 No.5, May 27, 2019

DOI: 10.4236/jamp.2019.75076 1,224 Downloads 2,974 Views Citations
Asymmetric Impact of Financial Integration to International Nonsynchronous Trading Effects in Developed and Emerging Equity Markets (Articles)

KiHoon Jimmy Hong

Theoretical Economics Letters Vol.4 No.7, August 4, 2014

DOI: 10.4236/tel.2014.47065 3,275 Downloads 4,436 Views Citations
Optimal Execution in Illiquid Market with the Absence of Price Manipulation (Articles)

Seiya Kuno, Masamitsu Ohnishi

Journal of Mathematical Finance Vol.5 No.1, January 20, 2015

DOI: 10.4236/jmf.2015.51001 4,092 Downloads 5,708 Views Citations
Evaluating the Accuracy of Valuation Multiples on Indian Firms Using Regularization Techniques of Penalized Regression (Articles)

Vandana Gupta

Theoretical Economics Letters Vol.9 No.1, February 3, 2019

DOI: 10.4236/tel.2019.91015 1,560 Downloads 3,996 Views Citations
Bayesian Regularized Quantile Regression Analysis Based on Asymmetric Laplace Distribution (Articles)

Qiaoqiao Tang, Haomin Zhang, Shifeng Gong

Journal of Applied Mathematics and Physics Vol.8 No.1, January 6, 2020

DOI: 10.4236/jamp.2020.81006 1,009 Downloads 2,693 Views Citations
Iterative Reweighted l₁ Penalty Regression Approach for Line Spectral Estimation (Articles)

Fei Ye, Xian Luo, Wanzhou Ye

Advances in Pure Mathematics Vol.8 No.2, February 26, 2018

DOI: 10.4236/apm.2018.82008 902 Downloads 1,868 Views Citations
Adaptive Sparse Group Variable Selection for a Robust Mixture Regression Model Based on Laplace Distribution (Articles)

Jiangtao Wang, Wanzhou Ye

Advances in Pure Mathematics Vol.10 No.1, January 19, 2020

DOI: 10.4236/apm.2020.101004 754 Downloads 1,829 Views Citations
Variable Selection in Finite Mixture of Time-Varying Regression Models (Articles)

Jing Liu, Wanzhou Ye

Advances in Pure Mathematics Vol.10 No.3, March 6, 2020

DOI: 10.4236/apm.2020.103007 683 Downloads 1,724 Views Citations

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