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

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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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An: 171918656
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PubType: Academic Journal
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        Value: 10.1111/mafi.12413
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      – Code: eng
        Text: English
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        StartPage: 1044
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      – TitleFull: Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book.
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            NameFull: Turiel, Jeremy
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              Text: Oct2023
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              Y: 2023
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