Pinboard (vivekarora)
https://pinboard.in/u:vivekarora/public/
recent bookmarks from vivekaroraMulti-Level Order-Flow Imbalance in a Limit Order Book2019-08-05T00:01:12+00:00
https://arxiv.org/pdf/1907.06230.pdf
vivekaroraPrediction Signals Order_Flow Limit_Order_Bookhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:d81573b3caa4/[untitled]2019-02-16T15:36:06+00:00
https://github.com/cbyn/bitpredict
vivekaroraPrediction Bitcoing XGBoosthttps://pinboard.in/https://pinboard.in/u:vivekarora/b:8ee5d00dad28/Market Making ML Methods2017-11-19T00:01:56+00:00
https://web.stanford.edu/class/msande448/2017/Final/Reports/gr4.pdf
vivekaroraRandom_Forest Predictionhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:e5190b41bcb1/Benchmark Dataset for Mid-Price Prediction of Limit Order Book data2017-06-17T17:26:22+00:00
https://arxiv.org/pdf/1705.03233.pdf
vivekaroraLimit_Order_Book Alpha Prediction Machine_Learninghttps://pinboard.in/u:vivekarora/b:3d6cf37b9a6b/The Micro-Price: A High Frequency Estimator of Future Prices2017-06-17T02:06:25+00:00
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2970694
vivekaroraMicroprice Prediction FairValuehttps://pinboard.in/https://pinboard.in/u:vivekarora/b:05470ad55fa1/Deep Learning for Limit Order Books2017-03-02T00:07:25+00:00
https://arxiv.org/pdf/1601.01987.pdf
vivekaroraLimit_Order_Book Prediction Deep_Learninghttps://pinboard.in/https://pinboard.in/u:vivekarora/b:f727fa81b9bd/Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book2017-01-10T03:01:08+00:00
https://arxiv.org/pdf/1512.03492.pdf
vivekaroraAlpha Limit_Order_Book Prediction Imbalancehttps://pinboard.in/https://pinboard.in/u:vivekarora/b:1b76bd9932ea/Noisy Financial Time Series prediction using neural network2016-08-14T18:19:42+00:00
https://clgiles.ist.psu.edu/papers/MLJ-finance.pdf
vivekaroraNeural_Network Timeseries Prediction Alphahttps://pinboard.in/u:vivekarora/b:87053770f701/Detecting intraday financial market states using temporal clustering2016-02-16T22:26:46+00:00
http://arxiv.org/abs/1508.04900
vivekaroraHigh_Frequency Prediction Machine_Learninghttps://pinboard.in/https://pinboard.in/u:vivekarora/b:36d0ea12ff6f/Efficiently Combining Multiple Sources of Alpha in Portfolio Construction2016-02-12T02:22:53+00:00
https://www.msci.com/resources/research/articles/2014/Research_Insight_Combining_Alpha_Signals_March_2014.pdf
vivekaroraAlpha Predictionhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:11efd5491bf3/Extended Abstract: Neural Networks for Limit Order Books2016-01-21T14:41:18+00:00
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2710331
vivekaroraLimit_Order_Book Alpha Prediction Deep_Learning Neural_Networkhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:62ba48ed067e/Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book2016-01-19T19:09:35+00:00
http://arxiv.org/pdf/1512.03492v1.pdf
vivekaroraAlpha Limit_Order_Book Predictionhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:305319f1be88/Behind Stock Price Movement, Part III: Explanatory Power of the Model2015-11-17T01:18:54+00:00
http://www.bloombergtradebook.com/blog/behind-stock-price-movement-part-iii-explanatory-power-of-the-model/
vivekaroraAlpha Prediction Imbalancehttps://pinboard.in/https://pinboard.in/u:vivekarora/b:9a878cfecaa1/Mid-Price Prediction in a Limit Order Book2015-11-17T01:16:59+00:00
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2544361
vivekaroraAlpha Prediction Optimal_Executionhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:40506f7349e5/A Sociology of Algorithms: High-Frequency Trading and the Shaping of Markets2015-02-18T19:29:38+00:00
http://www.maxpo.eu/Downloads/Paper_DonaldMacKenzie.pdf
vivekaroraHFT Predictionhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:37fd3d970505/Volume Imbalance and Algorithmic Trading2015-01-24T23:23:53+00:00
http://market-microstructure.institutlouisbachelier.org/uploads/91_6%20CARTEA%20CarteaPresentationParis_2014.pdf
vivekaroraOptimal_Execution Imbalance Predictionhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:eebf2ddefad1/The Impact of Visible and Dark Orders2015-01-20T21:12:23+00:00
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2238087
vivekaroraMarket_Impact Prediction Imbalancehttps://pinboard.in/https://pinboard.in/u:vivekarora/b:6d6227fc1ffd/Rare Events Analysis for High‐Frequency Equity Data2014-12-24T03:56:50+00:00
http://www.tinbergen.nl/wp-content/uploads/2014/09/bozdog.pdf
vivekaroraHigh_Frequency Prediction Anti-Gaminghttps://pinboard.in/https://pinboard.in/u:vivekarora/b:4e429d3918bc/MODELING HIGH-FREQUENCY ORDER BOOK DYNAMICS WITH SUPPORT VECTOR MACHINES2014-12-07T22:42:35+00:00
http://diginole.lib.fsu.edu/cgi/viewcontent.cgi?article=7885&context=etd
vivekaroraLimit_Order_Book SVM Machine_Learning HFT Predictionhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:f7dd94b28803/Modeling high-frequency limit order book dynamics with support vector machines2014-06-21T14:58:46+00:00
http://kolmogorov.math.stevens.edu/conference2013/images/Kercheval_Alec_HF2013.pdf
vivekaroraHigh_Frequency Prediction Alphahttps://pinboard.in/https://pinboard.in/u:vivekarora/b:4fe89e158c0c/Trade arrival dynamics and quote imbalance in a limit order book2014-01-20T17:29:34+00:00
http://arxiv.org/pdf/1312.0514.pdf
vivekaroraHFT Alpha Imbalance Predictionhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:2d05ee05cb61/Predicting Bid Ask Spread Long Memory Autoregressive Conditional Poisson Models2013-10-17T17:46:08+00:00
http://www.qfl-berlin.com/sites/default/files/Predicting_Bid-Ask_Spreads.pdf
vivekaroraSpread Alpha Predictionhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:7e686ed2681d/Development and Usage of Short Term Signals in Order2013-07-09T09:16:45+00:00
http://www.orie.cornell.edu/engineering2/customcf/iws_events_calendar/files/shorttermsignaldevusage-sotiropoulos.pdf
vivekaroraAlgorithmic_Trading WhitePaper Alpha Prediction News_tradinghttps://pinboard.in/https://pinboard.in/u:vivekarora/b:e41f19e37a46/Non-Parametric Prediction of the Mid-Price Dynamics in a Limit Order Book2013-07-09T08:36:13+00:00
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2021182
vivekaroraHigh_Frequency Prediction Alphahttps://pinboard.in/https://pinboard.in/u:vivekarora/b:34adc2273c83/Statistical Arbitrage in High Frequency Trading Based on Limit Order Book Dynamics2013-07-05T10:22:42+00:00
http://www.ntuzov.com/Nik_Site/Niks_files/Research/papers/stat_arb/Ahmed_2009.pdf
vivekaroraPrediction High_Frequency Limit_Order_Book Alphahttps://pinboard.in/https://pinboard.in/u:vivekarora/b:25c4121b55cb/Algorithmic and High-frequency trading: an overview2013-05-29T14:54:11+00:00
http://www.math.nyu.edu/faculty/avellane/QuantCongressUSA2011AlgoTradingLAST.pdf
vivekaroraMarket_Microstructure Algorithmic_Trading Prediction Presentationshttps://pinboard.in/https://pinboard.in/u:vivekarora/b:5afd55dac2b9/Automated Stock Trading Using Machine Learning Algorithms2013-04-14T22:34:48+00:00
http://cs229.stanford.edu/proj2012/ShahDaiZhong-AutomatedStockTradingUsingMachineLearningAlgorithms.pdf
vivekaroraMachine_Learning Predictionhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:b3a8cbae0d97/The Information Content of a Limit Order Book: the Case of an FX Market2013-04-08T19:23:52+00:00
https://workspace.imperial.ac.uk/business-school/Public/research/annadvanceshedgefunds5/11_salmon.pdf
vivekaroraPrediction Limit_Order_Bookhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:481b70a7fcdb/How I made $500k with machine learning and HFT (high frequency trading)2013-03-29T20:01:37+00:00
http://jspauld.com/post/35126549635/how-i-made-500k-with-machine-learning-and-hft
vivekaroraMachine_Learning HFT Predictionhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:d207f4014bac/Machine Learning and High-Frequency Data2013-03-29T16:18:53+00:00
http://market-microstructure.institutlouisbachelier.org/Uploads/42_21-%20YN_RL.pptx
vivekaroraMachine_Learning Dark_Pools Prediction Reinforcement_Learninghttps://pinboard.in/https://pinboard.in/u:vivekarora/b:421e67ad6c5a/Market Microstucture2013-03-28T10:44:32+00:00
http://people.maths.ox.ac.uk/gupta/MarketMictrostructure_Lecture2.pdf
vivekaroraPrediction HFT Limit_Order_Bookhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:32e96e89cf8f/Non-linear Supervised High Frequency Trading Strategies with Applications in US Equity Markets2013-03-17T23:51:15+00:00
http://kolmogorov.math.stevens.edu/conference2012/images/2012Stevens_NanZhou.pdf
vivekaroraHigh_Frequency Prediction Alpha Machine_Learninghttps://pinboard.in/https://pinboard.in/u:vivekarora/b:7e575def11ad/Price jump prediction in Limit Order Book2012-10-06T19:28:40+00:00
http://arxiv.org/pdf/1204.1381.pdf
vivekaroraHigh_Frequency Prediction Limit_Order_Book LASSOhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:3da10beeb5d7/Multiple Kernel Learning with Fisher kernels for High Frequency Currency Prediction2012-10-06T19:07:28+00:00
http://www.tristanfletcher.co.uk/Fletcher2011.pdf
vivekaroraSVM Prediction High_Frequency Technical_Analysishttps://pinboard.in/https://pinboard.in/u:vivekarora/b:62e513e08587/Evolution of Volatility, Trade Price Location, Correlations, and Speed of Trading in the Limit Order Book2012-09-18T00:22:07+00:00
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1913982
vivekaroraPrediction Alpha Limit_Order_Bookhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:f93bf3cc861b/Predictive Analytics Pipeline Alpha2012-06-26T02:11:56+00:00
http://www.advancedtrading.com/tca/229400525?pgno=1
vivekaroraPrediction Algorithmic_Tradinghttps://pinboard.in/https://pinboard.in/u:vivekarora/b:111650961972/Market Microstructure: Confronting Many Viewpoints2012-05-01T13:36:12+00:00
http://market-microstructure.institutlouisbachelier.org/program.aspx
vivekaroraMarket_Microstructure WhitePaper HFT Prediction Reinforcement_Learninghttps://pinboard.in/https://pinboard.in/u:vivekarora/b:dcc6b6a47f60/Trading Physics Market structure Resources/Papers2012-04-25T12:47:08+00:00
http://www.tradingphysics.com/Resources/Papers/
vivekaroraPrediction Algorithmic_Trading High_Frequency WhitePaperIdeas LockedMarketshttps://pinboard.in/https://pinboard.in/u:vivekarora/b:5e67d1038fa0/Market MicroStructure Models2012-03-04T23:30:50+00:00
http://www.jonathankinlay.com/Articles/Market%20Microstructure%20Models/Market%20MicroStructure%20Models.pdf
vivekaroraMarket_Microstructure High_Frequency Prediction Limit_Order_Bookhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:273250b41e54/Max Dama on Automated Trading2012-02-21T03:56:13+00:00
http://dl.dropbox.com/u/39904/maxdama.pdf
vivekaroraAlgorithmic_Trading Statistical_Arbitrage Prediction Machine_Learninghttps://pinboard.in/https://pinboard.in/u:vivekarora/b:67e9a0371a10/Modeling Stock Order Flows and Learning Market-Making from Data2012-02-21T00:11:41+00:00
http://www.cs.ucr.edu/~cshelton/papers/docs/orderflow_emm.pdf
vivekaroraMarket_Making Prediction Reinforcement_Learninghttps://pinboard.in/https://pinboard.in/u:vivekarora/b:dd046cf93da1/Electronic Market Making Potential Profits and Research Opportunities2012-02-20T23:57:15+00:00
http://www.fields.utoronto.ca/programs/scientific/09-10/bachelier/talks/Wed/Toronto/Plenary_Pliska_S.pdf
vivekaroraHigh_Frequency Market_Making Microprice Prediction Kalman_Filterhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:09007ada1e20/The Price Impact of Order Book Events2012-02-04T22:06:46+00:00
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1712822
vivekaroraHigh_Frequency Limit_Order_Book Prediction Market_Impact Imbalancehttps://pinboard.in/https://pinboard.in/u:vivekarora/b:2cab65376459/Econometrics: Models of Regime Changes2012-02-04T21:49:46+00:00
http://pages.uoregon.edu/jpiger/Models%20of%20Regime%20Changes.pdf
vivekaroraHidden_Markov_Models Regime_Change Timeseries Predictionhttps://pinboard.in/https://pinboard.in/u:vivekarora/b:c888dc1dce87/High Frequency Trade Prediction with Bivariate Hawkes Process 12011-11-18T20:09:39+00:00
http://users.iems.northwestern.edu/~armbruster/2007msande444/report1b.pdf
vivekaroraHawkes_Process High_Frequency Predictionhttps://pinboard.in/u:vivekarora/b:44461492b433/Jonathon Kilay2011-07-17T23:04:22+00:00
http://www.jonathankinlay.com/
vivekaroraBlogs High_Frequency quantitative_finance Prediction Hidden_Markov_Modelshttps://pinboard.in/u:vivekarora/b:b6d39c9f8b5d/Trading indicators evolutinary computing2011-07-16T03:30:44+00:00
http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.61.6271&rep=rep1&type=pdf
vivekaroraPrediction genetic_algorthshttps://pinboard.in/u:vivekarora/b:d30888fabc17/Forecasting Prices in the Presence of Hidden Liquidity by Marco Avellaneda, Josh Reed, Sasha Stoikov :: SSRN2011-07-04T18:46:16+00:00
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1691401&rec=1&srcabs=1712822
vivekaroraHidden_Liquidity_Prediction Hidden_ORders High_Frequency Predictionhttps://pinboard.in/u:vivekarora/b:6ee19d5d5094/Evaluating Predictive Accuracy2011-07-01T20:10:44+00:00
http://homepage.univie.ac.at/robert.kunst/prognos7.pdf
vivekaroraPrediction time_serieshttps://pinboard.in/u:vivekarora/b:8b7c9eb7c081/HFT Regime Switching Project2011-05-25T22:12:58+00:00
http://www.numericalmethod.com/papers/NTU/FE8827/projects/equities.pptx
vivekaroraHigh_Frequency Predictionhttps://pinboard.in/u:vivekarora/b:8139ceadaf6d/Developing High Frequency Trading models2011-05-25T02:07:50+00:00
http://dspace.mit.edu/bitstream/handle/1721.1/59122/658860705.pdf?sequence=1
vivekaroraHigh_Frequency PCA Predictionhttps://pinboard.in/u:vivekarora/b:bd6a2dac115d/Encyclopedia Trading Stratgies2011-05-18T01:23:39+00:00
http://www.pkp.in/publicdrive/publicdrive/Encyclopedia%20of%20Trading%20Strategies.pdf
vivekaroraForecasting Prediction Statistical_Arbitragehttps://pinboard.in/u:vivekarora/b:65a5cc4cac3c/Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and2011-03-28T02:25:53+00:00
http://www2.warwick.ac.uk/fac/soc/wbs/research/wfri/wpaperseries/wf04-223.pdf
vivekaroraForecasting Prediction time_serieshttps://pinboard.in/u:vivekarora/b:727b9adc72b6/ETF algorithms2011-01-03T13:45:13+00:00
http://www.automatedtrader.net/articles/sponsored-articles/50703/etfs-use-the-right-tool
vivekaroraETF Predictionhttps://pinboard.in/u:vivekarora/b:5cdc61eb9b84/