Zhang, "Modelling high-frequency limit order book dynamics with support vector machines," Quantitative Finance, vol. 15, no. 8, pp. 1315-1329, 2015.A. N. Kercheval and Y. Zhang. Modelling high-frequency limit order book dynamics with support vector machines. Quantitative Finance, 15(8):...
We propose a machine learning framework to capture the dynamics of high-frequency limit order books in financial equity markets and automate real-time prediction of metrics such as mid-price movement and price spread crossing. By characterizing each entry in a limit order book with a vector of ...
We apply state-dependent Hawkes processes to high-frequency limit order book data, allowing us to build a novel model that captures the feedback loop between the order flow and the shape of the limit order book. We estimate two specifications of the model, using the bid-ask spread and the...
specifically “tissue differentiation”, postulates that tendon will tend to turn into fibrocartilage if it is subjected to highcompression(squishing) andshear(pushing). Then, the fibrocartilage might eventually be reworked into bone as it drops ...
Bayesianly justifiable and relevant frequency calculations for the applied statistician. Ann. Stat. 12, 1151–1172 (1984). MathSciNet MATH Google Scholar Gelfand, A. E. & Smith, A. F. M. Sampling-based approaches to calculating marginal densities. J. Am. Stat. Assoc. 85, 398–409 (...
It is also important to quantify the proportion of infections in a community and the frequency with which infections are being reported to public health officials. Moreover, in the case of a novel disease, there are uncertainties in estimates of the infection rate and of the incubation period,...
4.2. Slug frequency Two aspects of the slug flow in inclined annular duct related to the proper hydraulic diameter and the velocity of the Taylor Bubble were addressed in the previous section. The error of the existing models is high, but in the same order of magnitude as the intrinsic varia...
121, the radio frequency plasma was used to enhance the CVD process, and the graphene layers are vertically produced on a 3D foam copper substrate,121 which can be effectively used as a battery electrode material. Chen et al.122 applied the CVD technology to in-situ produce graphene on the...
IFAS systems are inherently complex due to the hybrid use of both suspended and attached bacterial colonies for the purpose of pollutant degradation as part of wastewater treatment. This poses challenges when attempting to represent these systems mathema
The IMU data were filtered with a 4th order Butterworth low-pass filter with a cut-off frequency of 6 Hz. The EMG data were processed using codes written in MATLAB (Mathworks, Nantucket, MA, USA). The data were filtered with a band-pass filter with 20 Hz and 450 Hz cut-off frequenci...