11 citations · 14 across the 3 of their papers we have counts for
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q-fin.TR2023★ 3 cited
Neural Stochastic Agent-Based Limit Order Book Simulation: A Hybrid Methodology
Zijian Shi, John Cartlidge
Modern financial exchanges use an electronic limit order book (LOB) to store bid and ask orders for a specific financial asset. As the most fine-grained information depicting the d…
q-fin.TR2021
The Limit Order Book Recreation Model (LOBRM): An Extended Analysis
Zijian Shi, John Cartlidge
The limit order book (LOB) depicts the fine-grained demand and supply relationship for financial assets and is widely used in market microstructure studies. Nevertheless, the avail…
q-fin.TR2021
The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network
Zijian Shi, Yu Chen, John Cartlidge
In an order-driven financial market, the price of a financial asset is discovered through the interaction of orders - requests to buy or sell at a particular price - that are poste…