3 papers
q-fin.ST2021
Intra-Day Price Simulation with Generative Adversarial Modelling of the Order Flow
Ye-Sheen Lim, Denise Gorse
Intra-day price variations in financial markets are driven by the sequence of orders, called the order flow, that is submitted at high frequency by traders. This paper introduces a…
q-fin.ST2020
Deep Recurrent Modelling of Stationary Bitcoin Price Formation Using the Order Flow
Ye-Sheen Lim, Denise Gorse
In this paper we propose a deep recurrent model based on the order flow for the stationary modelling of the high-frequency directional prices movements. The order flow is the micro…
q-fin.ST2020
Deep Probabilistic Modelling of Price Movements for High-Frequency Trading
Ye-Sheen Lim, Denise Gorse
In this paper we propose a deep recurrent architecture for the probabilistic modelling of high-frequency market prices, important for the risk management of automated trading syste…