Forecasting Quoted Depth With the Limit Order Book
Liquidity plays a vital role in the financial markets, affecting a myriad of factors including stock prices, returns, and risk. In the stock market, liquidity is usually measured through the order book, which captures the orders placed by traders to buy and sell stocks at different price points. The...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2021-05-01
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| Series: | Frontiers in Artificial Intelligence |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/frai.2021.667780/full |