A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes

By Hamza Bodor, Laurent Carlier

Published 2024-05-28

Everscope rating

1678.2

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Queue-Reactive Model Extensions. Problem types: Time Series Forecasting, Market Simulation.

arXiv:2405.18594 · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.