An Algebraic Framework for the Modeling of Limit Order Books

By Johannes Bleher, Michael Bleher

Published 2024-06-07

Everscope rating

1559.6

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Algebraic Framework. Problem types: Market Microstructure Modeling, Time Series Modeling.

arXiv:2406.04969 · Paper rankings

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