Micro-price trading in an order-driven market

By Andrew Todd, R. Hayes, Peter A. Beling, W. Scherer. 2014

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The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Bryan Lim
2. Stefan Zohren
3. Stephen J. Roberts
4. W. D. Penny
5. Ioana Bica
6. Si Chen
7. Michael A. Osborne
8. Qingsong Wen

Citations in the corpus

• Recurrent Neural Filters: Learning Independent Bayesian Filtering Steps for Time Series Prediction (2019, methodology): “L) – specifically forecasting microprice returns (Todd et al., 2014) using volume imbalance as an input predictor (see Appendix B) – comprising a total of 29,321,946 time steps between 03 January 2017 to 29 December 2017.”