Michael Bleher

Heidelberg University - Mathematisches Institut

Mathematikon

Im Neuenheimer Feld 205

Heidelberg, 69120

Germany

  • Heidelberg University - Mathematisches Institut

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From orders to prices: A stochastic description of the limit order book to forecast intraday returns

Number of pages: 82 Posted: 28 May 2020 Last Revised: 21 Apr 2021
Johannes Bleher, Michael Bleher and Thomas Dimpfl
Computational Science Hub, University of Hohenheim, Heidelberg University - Mathematisches Institut and University of Hohenheim
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Limit Order Book, Master Equation, Continuous Markov Process, High Frequency, Market Microstructure