{"title":"Online learning of order flow and market impact with Bayesian change-point detection methods","authors":"Ioanna-Yvonni Tsaknaki, Fabrizio Lillo, Piero Mazzarisi","doi":"10.1080/14697688.2024.2337300","DOIUrl":null,"url":null,"abstract":"Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistence can be attribut...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"13 1","pages":""},"PeriodicalIF":1.5000,"publicationDate":"2024-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/14697688.2024.2337300","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistence can be attribut...
期刊介绍：
The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.
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