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Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book.

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Bibliographic Details
Title: Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book.
Authors: Kolm, Petter N.1 (AUTHOR) petter.kolm@nyu.edu, Turiel, Jeremy2 (AUTHOR), Westray, Nicholas1 (AUTHOR)
Source: Mathematical Finance. Oct2023, Vol. 33 Issue 4, p1044-1081. 38p.
Database: Mathematics Source
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ISSN:09601627
DOI:10.1111/mafi.12413