Price jump prediction in a limit order book

HIGHLIGHTS

• who: Ban Zheng and collaborators from the Natixis, Equity Markets, France have published the paper: Price Jump Prediction in a Limit Order Book, in the Journal: (JOURNAL)
• what: Based on these quantities the authors give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and the authors show that the liquidity balance on the best bid/best ask is quite informative for predicting the future market order's direction. The authors show the out-of-sample AUC value in Figure 6. For the sake of simplicity, for each selection . . .
  

   

  

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