8 citations · 16 across the 6 of their papers we have counts for
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q-fin.TR2021
Self-organised criticality in high frequency finance: the case of flash crashes
Jeremy D. Turiel, Tomaso Aste
With the rise of computing and artificial intelligence, advanced modeling and forecasting has been applied to High Frequency markets. A crucial element of solid production modeling…
q-fin.TR2021★ 8 cited
Heterogenous criticality in high frequency finance: a phase transition in flash crashes
Jeremy Turiel, Tomaso Aste
Flash crashes in financial markets have become increasingly important attracting attention from financial regulators, market makers as well as from the media and the broader audien…
q-fin.TR2020
Deep Learning modeling of Limit Order Book: a comparative perspective
Antonio Briola, Jeremy Turiel, Tomaso Aste
The present work addresses theoretical and practical questions in the domain of Deep Learning for High Frequency Trading. State-of-the-art models such as Random models, Logistic Re…